Latent Variable Models for Stochastic Discount Factors.

We address the general issue of econometric specifications of dynamic asset pricing models, which cover the modern literature on conditionally heteroskedastic factor models as well as equilibrium-based asset pricing models with an intertemporal specification of preferences and market fundamentals.

MoreLess

Year of publication:	2000
Authors:	Garcia, R. ; Renault, E.
Subject:	ECONOMIC MODELS \| FINANCIAL MARKET \| ECONOMETRICS

More details

Type of publication:	Book / Working Paper
Notes:	48 pages
Classification:	C1 - Econometric and Statistical Methods: General ; C5 - Econometric Modeling ; G1 - General Financial Markets
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005641165