Author

M. Carrasco

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Case report Open access Aug 2026

Hansen-Jagannathan distance with many assets

This paper proposes methods to estimate and compare asset pricing models in settings with a large number of test assets. Models are specified through a linear stochastic discount factor (SDF). We propose two regularization schemes to extend the Hansen-Jagannathan distance to high-dimensional environments. In addition t...

M. Carrasco, Cheikh Nokho · 0 citations