Evaluating Government Bond Fund Performance with Stochastic Discount Factors

By Wayne E. Ferson, Tyler R. Henry, Darren J. Kisgen. 2006

136 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/4c930c188f94dfdc9a3751e6b1edc4a2e8ff76fc

Citations in the corpus

• On the High Frequency Dynamics of Hedge Fund Risk Exposures (2013, unknown): “A partial list includes Fung and Hsieh (1997, 2004a,b), Ackermann, McEnally, and Ravenscraft (1999), Liang (1999), Agarwal and Naik (2004), Kosowski, Naik, and Teo (2007), Chen and Liang (2007), Fung et al. (2008), Patton (2009), Jagannathan, Malakhov, and Novikov (2010), and Agarwal et al.”
• Conditional Risk and Performance Evaluation: Volatility Timing, Overconditioning, and New Estimates of Momentum Alphas (2011, unknown): “Ferson, Henry, and Kisgen (2006) follow a different approach by creating an empirical approximation to a continuous-time pricing kernel to evaluate fixed-income managed returns.”