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Search: subject:"Stochastic Discount Factor"
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Kapitaleinkommen
CAPM
69
Stochastic discount factor
67
Discounting
57
Diskontierung
57
Theorie
52
Theory
52
stochastic discount factor
33
Risk premium
29
Risikoprämie
25
Stochastic process
25
Stochastischer Prozess
25
Capital income
23
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22
Schätzung
22
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18
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18
Option pricing theory
11
Optionspreistheorie
11
Risk
10
Volatility
10
Volatilität
10
Risiko
9
Method of moments
8
Momentenmethode
8
Stochastic Discount Factor
8
Yield curve
7
Zinsstruktur
7
Asset pricing
6
Exchange rate risk
6
Währungsrisiko
6
Aktienmarkt
5
Forecasting model
5
Prognoseverfahren
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Risikoaversion
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Risk aversion
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Stock market
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4
Risikomaß
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Risk measure
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23
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Rubio, Gonzalo
4
Chib, Siddhartha
2
Ferson, Wayne E.
2
González-Urteaga, Ana
2
Nieto Domenech, Belen
2
Nieto, Belén
2
Abad Díaz, David
1
Almeida, Caio
1
Ang, Andrew
1
Auer, Benjamin R.
1
Campbell, John Y.
1
Chabi-Yo, Fousseni
1
Dolmas, Jim
1
Favero, Carlo A.
1
González Sánchez, Mariano
1
Grieco, Daniela
1
Guidolin, Massimo
1
Hansen, Erwin
1
Hogan, Kedreth C.
1
Leal, Laura Simonsen
1
Leisen, Dietmar
1
Linetsky, Vadim
1
Lozano-Banda, Martín
1
Mo, Haitao
1
Márquez De la Cruz, Elena
1
Ortu, Fulvio
1
Pascual, Roberto
1
Pongrapeeporn Abhakorn
1
Qin, Likuan
1
Renault, Eric
1
Schulze, Gordon
1
Shores, Sara
1
Sing, Tien-foo
1
Smith, Peter N.
1
Sun, Yang
1
Tamoni, Andrea
1
Wickens, Michael R.
1
Yang, Haoxi
1
Zeng, Xiaming
1
Zhang, Xuan
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Quantitative finance
3
Financial markets and asset pricing
2
International review of financial analysis
2
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
2
Applied economics
1
Atlantic economic journal : AEJ
1
Brazilian review of econometrics : BRE ; the review of the Brazilian Econometric Society
1
Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
1
Finance research letters
1
International review of economics & finance : IREF
1
Journal of economic theory
1
Journal of evolutionary economics : JEE
1
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1
Management science : journal of the Institute for Operations Research and the Management Sciences
1
Review of financial economics : RFE
1
The North American journal of economics and finance : a journal of financial economics studies
1
The journal of asset management
1
The quarterly review of economics and finance : journal of the Midwest Economics Association ; journal of the Midwest Finance Association
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ECONIS (ZBW)
23
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1
Market-wide illiquidity and the distribution of non-parametric stochastic discount factors
Abad Díaz, David
;
Nieto Domenech, Belen
;
Pascual, Roberto
- In:
International review of financial analysis
87
(
2023
),
pp. 1-17
Persistent link: https://www.econbiz.de/10014460538
Saved in:
2
Winners from winners : a tale of risk factors
Chib, Siddhartha
;
Zhao, Lingxiao
;
Zhou, Guofu
- In:
Management science : journal of the Institute for …
70
(
2024
)
1
,
pp. 396-414
Persistent link: https://www.econbiz.de/10014470017
Saved in:
3
Carry trade returns and segmented risk pricing
Schulze, Gordon
- In:
Atlantic economic journal : AEJ
49
(
2021
)
1
,
pp. 23-40
Persistent link: https://www.econbiz.de/10012542770
Saved in:
4
Mortgage payments and equity premium puzzle
Sing, Tien-foo
;
Zou, Yiheng
- In:
The quarterly review of economics and finance : journal …
86
(
2022
),
pp. 376-388
Persistent link: https://www.econbiz.de/10014249158
Saved in:
5
Asset pricing models in emerging markets : factorial approaches vs. information
stochastic
discount
factor
González Sánchez, Mariano
- In:
Finance research letters
46
(
2022
)
2
,
pp. 1-9
Persistent link: https://www.econbiz.de/10013341609
Saved in:
6
The reduced-rank beta in linear
stochastic
discount
factor
models
Sun, Yang
;
Zhang, Xuan
;
Zhang, Zhekai
- In:
International review of financial analysis
84
(
2022
),
pp. 1-16
Persistent link: https://www.econbiz.de/10013472971
Saved in:
7
Extracting expected stock risk premia from option prices and the information contained in non-parametric-out-of-sample stochastic discount factors
González-Urteaga, Ana
;
Nieto, Belén
;
Rubio, Gonzalo
- In:
Quantitative finance
21
(
2021
)
5
,
pp. 713-727
Persistent link: https://www.econbiz.de/10012500183
Saved in:
8
Extracting expected stock risk premia from option prices and the information contained in non-parametric-out-of-sample stochastic discount factors
González-Urteaga, Ana
;
Nieto Domenech, Belen
;
Rubio, …
- In:
Quantitative finance
21
(
2021
)
5
,
pp. 713-727
Persistent link: https://www.econbiz.de/10012500184
Saved in:
9
An SDF approach to hedge funds' tail risk : evidence from Brazilian funds
Leal, Laura Simonsen
;
Almeida, Caio
- In:
Brazilian review of econometrics : BRE ; the review of …
37
(
2017
)
1
,
pp. 61-88
Persistent link: https://www.econbiz.de/10011860505
Saved in:
10
Implications of return predictability for consumption dynamics and asset pricing
Favero, Carlo A.
;
Ortu, Fulvio
;
Tamoni, Andrea
;
Yang, Haoxi
- In:
Journal of business & economic statistics : JBES ; a …
38
(
2020
)
3
,
pp. 527-541
Persistent link: https://www.econbiz.de/10012262492
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