Estimating and testing long-run risk models : international evidence
Andras Fulop, Junye Li, Hening Liu, Cheng Yan
| Year of publication: |
2025
|
|---|---|
| Authors: | Fulop, Andras ; Li, Junye ; Liu, Hening ; Yan, Cheng |
| Published in: |
Management science : journal of the Institute for Operations Research and the Management Sciences. - Hanover, Md. : INFORMS, ISSN 1526-5501, ZDB-ID 2023019-9. - Vol. 71.2025, 4, p. 3517-3536
|
| Subject: | stochastic discount factor | equity premium | consumption | long-run risk | projection methods | sequential Monte Carlo sampler | Risikoprämie | Risk premium | CAPM | Monte-Carlo-Simulation | Monte Carlo simulation | Diskontierung | Discounting | Risiko | Risk | Schätztheorie | Estimation theory | Schätzung | Estimation |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1287/mnsc.2022.04054 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10015413787