2 papers
q-fin.MF2014
Misspecified Recovery
Jaroslav Borovička, Lars Peter Hansen, José A. Scheinkman
Asset prices contain information about the probability distribution of future states and the stochastic discounting of those states as used by investors. To better understand the c…
stat.ME2009
Nonlinear Principal Components and Long-run Implications of Multivariate Diffusions
Xioahong Chen, Lars Peter Hansen, Jose Scheinkman
We investigate a method for extracting nonlinear principal components (NPCs). These NPCs maximize variation subject to smoothness and orthogonality constraints; but we allow for a…