Bayesian Estimation of Stochastic Discount Factors
提出一种贝叶斯方法，估计与观测资产收益相关的随机贴现因子的边际后验分布，用于衡量资产定价模型的拟合优度，并识别需要解释的特征。
Abstract This article provides a Bayesian method of estimating the marginal posterior distributions for stochastic discount factors associated with observed asset returns. These estimates can be used to provide measures of fit for asset-pricing models and to identify broad features of the characteristics that should be explained. These measures of fit can be used to supplement model-evaluation exercises based on Hansen–Jagannathan bounds KEY WORDS: Asset pricingHansen–Jagannathan boundsMarkov-chain Monte CarloMetropolis–Hastings algorithm