Which factors are risk factors in asset pricing? : a model scan framework
Siddhartha Chib, Xiaming Zeng
| Year of publication: |
2020
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|---|---|
| Authors: | Chib, Siddhartha ; Zeng, Xiaming |
| Published in: |
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association. - Abingdon : Taylor & Francis, ISSN 1537-2707, ZDB-ID 2043744-4. - Vol. 38.2020, 4, p. 771-783
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| Subject: | Bayes inference | Marginal likelihood | MCMC sampling | Metropolis-Hastings | Pricing kernel | Stochastic discount factor | CAPM | Theorie | Theory | Stichprobenerhebung | Sampling | Diskontierung | Discounting | Faktorenanalyse | Factor analysis | Stochastischer Prozess | Stochastic process | Monte-Carlo-Simulation | Monte Carlo simulation | Markov-Kette | Markov chain | Risikoprämie | Risk premium | Bayes-Statistik | Bayesian inference |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1080/07350015.2019.1573684 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012313369