Concepedia

Evaluating Asset Pricing Models Using the Second Hansen-Jagannathan Distance

Haitao Li, Yuewu Xu, Xiaoyan Zhang

SSRN Electronic Journal · 2008 · 17 citations · 39 references

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Concepts

References

39

Common risk factors in the returns on stocks and bonds

Eugene F. Fama, Kenneth R. French · Journal of Financial Economics · 1993 · 27.7K citations

, , +12

Large Sample Properties of Generalized Method of Moments Estimators

Lars Peter Hansen · Econometrica · 1982 · 13.9K citations

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Postwar U.S. Business Cycles: An Empirical Investigation

Robert J. Hodrick, Edward C. Prescott · Journal of money credit and banking · 1997 · 7.4K citations

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Likelihood Ratio Tests for Model Selection and Non-Nested Hypotheses

Quang Vuong · Econometrica · 1989 · 6K citations

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The Cross‐Section of Volatility and Expected Returns

Andrew Ang, Robert J. Hodrick, Yuhang Xing et al. · The Journal of Finance · 2006 · 4.8K citations

, , +17