Impondo mais restrições ao modelo de apreçamento vetorial com séries temporais
This work is dedicated to the empirical exercise of generating more restrictions on an asset pricing model with time series developed by Hansen and Singleton JPE 1983. The restrictions go from a simple qualitative increase in the studied assets to a proposed extension derived from a consistent estim...
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| Format: | master thesis |
| Status: | Published version |
| Publication Date: | 2015 |
| Country: | Brasil |
| Institution: | Fundação Getulio Vargas (FGV) |
| Repository: | Repositório Institucional do FGV (FGV Repositório Digital) |
| Language: | Portuguese |
| OAI Identifier: | oai:repositorio.fgv.br:10438/13784 |
| Online Access: | https://hdl.handle.net/10438/13784 |
| Access Level: | Open access |
| Keyword: | Prices Macroeconomics Time series analysis Preços Macroeconomia Análise de séries Temporais Economia Análise de séries temporais |
| Summary: | This work is dedicated to the empirical exercise of generating more restrictions on an asset pricing model with time series developed by Hansen and Singleton JPE 1983. The restrictions go from a simple qualitative increase in the studied assets to a proposed extension derived from a consistent estimator of the stochastic discount factor. Estimates found for the relative risk aversion of the representative agent are as expected, in most cases, reaching values already found in literature, besides the fact that these values are economically plausible. The theoretical extension proposal did not achieve the expected results beacause it seems to improve the systemic estimation marginally. |
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