Approximating the Asset Pricing Kernel

Article Abstract:

The use of orthonormal polynomials in a small number of state variables to approximate the asset pricing kernel, or state-price deflator, is discussed. A motivating example is described. Topics include the exact nature of the approximation, empirical methods, data, estimates of the approximations, and suggestions for future research.

Statistical Data Included, Models, Economic aspects, Assets (Accounting), Capital assets pricing model, Capital asset pricing model, Approximation theory, Approximation

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Is the short rate drift actually nonlinear?

Article Abstract:

The interest rate drift function is linear yet includes some nonlinear qualities. Use of a weighted least squares estimation technique suggests that the nonlinear nature of the short rate drift is not a stylized fact.

United States, Usage, Least squares

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Hedging or market timing? selecting the interest rate exposure of corporate debt

Article Abstract:

A study is conducted to analyze two decision making strategies, namely hedging and market timing, used in predicting the future prices and interest rates of corporate debt.

Forecasts, trends, outlooks, Management dynamics, Decision-making, Decision making, Analysis, Management, Market trend/market analysis, Company business management, Debt financing (Corporations), Corporate debt

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