New entropy restrictions and the quest for better-specified asset-pricing models
Gurdip Bakshi and Fousseni Chabi-Yo
| Year of publication: |
2019
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|---|---|
| Authors: | Bakshi, Gurdip S. ; Chabi-Yo, Fousseni |
| Published in: |
Journal of financial and quantitative analysis : JFQA. - New York, NY [u.a.] : Cambridge University Press, ISSN 0022-1090, ZDB-ID 219406-5. - Vol. 54.2019, 6, p. 2517-2541
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| Subject: | entropy | stochastic discount factors | permanent component | lower entropy bounds | entropy codependence | asset pricing models | eigenfunction problem | Entropie | Entropy | CAPM | Diskontierung | Discounting | Stochastischer Prozess | Stochastic process | Optionspreistheorie | Option pricing theory |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1017/S0022109018001503 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012165919