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- Fri Jul 01, 2016 5:45 am
- Forum: Econometric Discussions
- Topic: Stochastic Discount Factor on Excess Returns
- Replies: 0
- Views: 2125
Stochastic Discount Factor on Excess Returns
Hi, I try to find risk factor prices for carry trade strategies following Sarno/Schmeling (2012 "Carry Trades and Global Foreign Exchange Volatility") using the SDF approach. I have constructed 5 portfolios, and have their monthly excess returns over a period of 23 years. Further, I have 3...