Peñaranda, Francisco and Sentana, Enrique (2004) Spanning tests in return and stochastic discount factor mean-variance frontiers: a unifying approach. Financial Markets Group Discussion Papers (497). Financial Markets Group, The London School of Economics and Political Science, London, UK.
Full text not available from this repository.Abstract
We propose new approaches to test for spanning in the return and stochastic discount factor mean-variance frontiers, which assess if either the centred or uncentred mean and cost representing portfolios are shared by the initial and extended sets of assets. We show that our proposed tests are asymptotically equivalent to the existing spanning tests under the null and sequences of local alternatives, and analyse their asymptotic relative e.ciency. We also extend the theory of optimal GMM inference to deal with the singularities that arise in some spanning tests. Finally, we include an empirical application to money markets in Europe.
| Item Type: | Monograph (Discussion Paper) |
|---|---|
| Official URL: | https://www.fmg.ac.uk/ |
| Additional Information: | © 2004 The Authors |
| Divisions: | Financial Markets Group |
| Subjects: | H Social Sciences > HB Economic Theory |
| JEL classification: | G - Financial Economics > G1 - General Financial Markets > G12 - Asset Pricing; Trading volume; Bond Interest Rates G - Financial Economics > G1 - General Financial Markets > G11 - Portfolio Choice; Investment Decisions C - Mathematical and Quantitative Methods > C1 - Econometric and Statistical Methods: General > C12 - Hypothesis Testing C - Mathematical and Quantitative Methods > C1 - Econometric and Statistical Methods: General > C13 - Estimation |
| Date Deposited: | 28 Aug 2009 09:20 |
| Last Modified: | 15 Sep 2023 22:58 |
| URI: | http://eprints.lse.ac.uk/id/eprint/24711 |
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