Stochastic discount factor bounds with conditioning information
By: Wayne E. Ferson, Andrew F. Siegel.
Contributors: Siegel, Andrew F.; National Bureau of Economic Research.
Series: NBER working paper series -- no. 8789; Working paper series (National Bureau of Economic Research) -- working paper no. 8789.
Publisher: National Bureau of Economic Research
Published: 2002
Place of publication: Cambridge, MA
Language: eng
Number of pages: 46
Subjects: Rate of return -- Econometric models.; Stochastic analysis.
Genres: Econometric models.
Notes: "February 2002."

JEL no. G12, C31, D51.

Includes bibliographical references (p. 37-40).

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Electronic version available via the Internet at the NBER World Wide Web site.