英文标题：
《Nonparametric Stochastic Discount Factor Decomposition》
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作者：
Timothy Christensen
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最新提交年份：
2017
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英文摘要：
  Stochastic discount factor (SDF) processes in dynamic economies admit a permanent-transitory decomposition in which the permanent component characterizes pricing over long investment horizons. This paper introduces an empirical framework to analyze the permanent-transitory decomposition of SDF processes. Specifically, we show how to estimate nonparametrically the solution to the Perron-Frobenius eigenfunction problem of Hansen and Scheinkman (2009). Our empirical framework allows researchers to (i) recover the time series of the estimated permanent and transitory components and (ii) estimate the yield and the change of measure which characterize pricing over long investment horizons. We also introduce nonparametric estimators of the continuation value function in a class of models with recursive preferences by reinterpreting the value function recursion as a nonlinear Perron-Frobenius problem. We establish consistency and convergence rates of the eigenfunction estimators and asymptotic normality of the eigenvalue estimator and estimators of related functionals. As an application, we study an economy where the representative agent is endowed with recursive preferences, allowing for general (nonlinear) consumption and earnings growth dynamics.
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中文摘要：
动态经济体中的随机贴现因子（SDF）过程允许一个永久的暂时分解，其中永久性成分描述了长期投资期限内的定价。本文介绍了一个分析SDF过程永久瞬态分解的经验框架。具体来说，我们展示了如何非参数地估计Hansen和Scheinkman（2009）的Perron-Frobenius特征函数问题的解。我们的经验框架允许研究人员（i）恢复估计的永久性和暂时性成分的时间序列，以及（ii）估计长期投资期限内的收益率和衡量标准的变化。我们还通过将值函数递归重新解释为非线性Perron-Frobenius问题，在一类具有递归偏好的模型中引入了连续值函数的非参数估计。我们建立了特征函数估计的相合性和收敛速度，以及特征值估计和相关泛函估计的渐近正态性。作为一个应用，我们研究了一个经济体，其中代表性代理人被赋予递归偏好，考虑到一般（非线性）消费和收入增长动态。
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分类信息：

一级分类：Statistics        统计学
二级分类：Methodology        方法论
分类描述：Design, Surveys, Model Selection, Multiple Testing, Multivariate Methods, Signal and Image Processing, Time Series, Smoothing, Spatial Statistics, Survival Analysis, Nonparametric and Semiparametric Methods
设计，调查，模型选择，多重检验，多元方法，信号和图像处理，时间序列，平滑，空间统计，生存分析，非参数和半参数方法
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一级分类：Quantitative Finance        数量金融学
二级分类：Economics        经济学
分类描述：q-fin.EC is an alias for econ.GN. Economics, including micro and macro economics, international economics, theory of the firm, labor economics, and other economic topics outside finance
q-fin.ec是econ.gn的别名。经济学，包括微观和宏观经济学、国际经济学、企业理论、劳动经济学和其他金融以外的经济专题
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一级分类：Quantitative Finance        数量金融学
二级分类：Mathematical Finance        数学金融学
分类描述：Mathematical and analytical methods of finance, including stochastic, probabilistic and functional analysis, algebraic, geometric and other methods
金融的数学和分析方法，包括随机、概率和泛函分析、代数、几何和其他方法
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