Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/70680
Authors: 
Gospodinov, Nikolay
Kan, Raymond
Robotti, Cesare
Year of Publication: 
2012
Series/Report no.: 
Working Paper, Federal Reserve Bank of Atlanta 2012-18
Abstract: 
We provide an in-depth analysis of the theoretical properties of the Hansen-Jagannathan (HJ) distance that incorporates a no-arbitrage constraint. Under a multivariate elliptical distribution assumption, we present explicit expressions for the HJ-distance with a no-arbitrage constraint, the associated Lagrange multipliers, and the SDF parameters in the case of linear SDFs. This approach allows us to analyze the benefits and costs of using the HJ-distance with a no-arbitrage constraint to rank asset pricing models.
Subjects: 
Hansen-Jagannathan distance
no-arbitrage
model ranking
multivariate elliptical distributions
JEL: 
G12
Document Type: 
Working Paper

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