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  • Search: subject:"Stochastic discount factor"
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Year of publication
Subject
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Discounting 116 Diskontierung 116 stochastic discount factor 106 CAPM 103 Stochastic discount factor 90 Theorie 71 Theory 69 Stochastischer Prozess 57 Stochastic process 56 Risk premium 52 Risikoprämie 47 Kapitaleinkommen 45 Capital income 41 Stochastic Discount Factor 35 Schätzung 31 Portfolio-Management 30 Estimation 29 Portfolio selection 29 Volatility 21 Volatilität 21 Risk 17 Zinsstruktur 16 Factor analysis 15 Faktorenanalyse 15 Risiko 15 Yield curve 15 Estimation theory 14 Exchange rate 14 Option pricing theory 14 Optionspreistheorie 14 Schätztheorie 14 Asset pricing 13 GMM 13 Wechselkurs 13 Währungsrisiko 12 Exchange rate risk 11 asset pricing 11 bond 11 stochastic discount 11 Aktienmarkt 10
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Online availability
All
Free 141 Undetermined 106 CC license 3
Type of publication
All
Book / Working Paper 133 Article 130 Other 5
Type of publication (narrower categories)
All
Article in journal 87 Aufsatz in Zeitschrift 87 Working Paper 48 Graue Literatur 35 Non-commercial literature 35 Arbeitspapier 33 Article 7 Aufsatzsammlung 1 Hochschulschrift 1 research-article 1
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Language
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English 187 Undetermined 79 French 2
Author
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Rubio, Gonzalo 9 Ielpo, Florian 8 Wickens, Michael R. 7 Danthine, Jean-Pierre 6 Guegan, Dominique 6 Sentana, Enrique 6 Drobetz, Wolfgang 5 Kenc, Turalay 5 Kleibergen, Frank 5 Lalaharison, Hanjarivo 5 Li, Junye 5 Paap, Richard 5 Peñaranda, Francisco 5 Smith, Peter N. 5 Sola, Martin 5 Zimmermann, Heinz 5 Bessler, Wolfgang 4 Donaldson, John B. 4 Driffill, John 4 Guidolin, Massimo 4 Kodongo, Odongo 4 Monfort, A. 4 Monfort, Alain 4 Ojah, Kalu 4 Pegoraro, F. 4 Poghosyan, Tigran 4 Trojani, Fabio 4 Vedolin, Andrea 4 Abhakorn, Pongrapeeporn 3 Almeida, Caio 3 Balfoussia, Chiona 3 Breig, Christoph 3 Chabi-Yo, Fousseni 3 Chorro, Christophe 3 Elsas, Ralf 3 Engel, Charles 3 Féron, Olivier 3 Garcia, René 3 González-Urteaga, Ana 3 Kizys, Renatas 3
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Institution
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International Monetary Fund (IMF) 12 C.E.P.R. Discussion Papers 5 Banque de France 4 HAL 4 Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München 4 Centre d'Économie de la Sorbonne, Université Paris 1 (Panthéon-Sorbonne) 3 Department of Economics and Related Studies, University of York 3 Banco de España 2 Center for Financial Studies 2 Centre Interuniversitaire de Recherche en Analyse des Organisations (CIRANO) 2 Centro de Estudios Monetarios y Financieros (CEMFI) 2 Department of Econometrics and Business Statistics, Monash Business School 2 Department of Economics and Business, Universitat Pompeu Fabra 2 Département de Sciences Économiques, Université de Montréal 2 European Central Bank 2 Schweizerische Nationalbank (SNB) 2 Society for Computational Economics - SCE 2 Bank of Greece 1 Barcelona Graduate School of Economics (Barcelona GSE) 1 CESifo 1 Centre de Recherche en Économie et Statistique (CREST), Groupe des Écoles Nationales d'Économie et Statistique (GENES) 1 Centro di Studi Internazionali Sull'Economia e la Sviluppo (CEIS), Facoltà di Economia 1 Departamento de Economía de la Empresa, Universidad Carlos III de Madrid 1 Departamento de Economía, Universidad Torcuato Di Tella 1 Department of Economics, Ryerson University 1 Départment d'économétrie et d'économie politique (DEEP), Faculté des Hautes Études Commerciales (HEC) 1 Econometric Society 1 Economic Research Southern Africa (ERSA) 1 Erasmus University Rotterdam, Econometric Institute 1 Faculteit der Economische Wetenschappen, Erasmus Universiteit Rotterdam 1 Federal Reserve Bank of St. Louis 1 Instituto Valenciano de Investigaciones Económicas (IVIE) 1 MASTER CONSULTORES 1 Money Macro and Finance Research Group 1 Nationalekonomiska institutionen, Handelshögskolan 1 Royal Economic Society - RES 1 Society for Economic Dynamics - SED 1 Tinbergen Institute 1 Tinbergen Instituut 1 William Davidson Institute, University of Michigan 1
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Published in...
All
IMF Working Papers 12 Discussion papers / CEPR 6 Research paper series / Swiss Finance Institute 6 CEPR Discussion Papers 5 Journal of financial economics 5 Finance research letters 4 Journal of Banking & Finance 4 Management science : journal of the Institute for Operations Research and the Management Sciences 4 Quantitative finance 4 Working papers / Banque de France 4 Brazilian review of econometrics : BRE ; the review of the Brazilian Econometric Society 3 Discussion Papers / Department of Economics and Related Studies, University of York 3 Documents de travail du Centre d'Economie de la Sorbonne 3 ECB Working Paper 3 International review of financial analysis 3 Journal of empirical finance 3 MPRA Paper 3 Post-Print / HAL 3 Staff working papers / Bank of England 3 Working Paper 3 Annual Review of Financial Economics 2 CESifo Working Paper 2 CFS Working Paper Series 2 CIRANO Working Papers 2 Cahiers de recherche 2 Discussion Papers Series 2 Econometrica : journal of the Econometric Society, an international society for the advancement of economic theory in its relation to statistics and mathematics 2 Economic modelling 2 Economics Working Papers / Department of Economics and Business, Universitat Pompeu Fabra 2 Financial markets and asset pricing 2 International Review of Financial Analysis 2 International review of economics & finance : IREF 2 Journal of Economic Dynamics and Control 2 Journal of Economics and Finance 2 Journal of business & economic statistics : JBES ; a publication of the American Statistical Association 2 Journal of economic dynamics & control 2 Journal of financial econometrics 2 Journal of international money and finance 2 Monash Econometrics and Business Statistics Working Papers 2 Review of Derivatives Research 2
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Source
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ECONIS (ZBW) 126 RePEc 114 EconStor 22 BASE 5 Other ZBW resources 1
Showing 1 - 10 of 268
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Forward selection Fama-MacBeth regression with higher-order asset pricing factors
Borri, Nicola; Četverikov, Denis N.; Liu, Yukun; … - 2025
Persistent link: https://www.econbiz.de/10015417540
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Monetary asymmetries without (and with) price stickiness
Jaccard, Ivan - 2024
The evidence suggests that monetary policy transmission is asymmetric over the business cycle. Interacting financing frictions with a preference for liquidity provides an explanation for this fact. Our mechanism generates monetary asymmetries in a model that jointly reproduces a set of asset...
Persistent link: https://www.econbiz.de/10014543635
Saved in:
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Asset pricing and Machine Learning : a critical review
Bagnara, Matteo - In: Journal of economic surveys 38 (2024) 1, pp. 27-56
Persistent link: https://www.econbiz.de/10014474349
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Putting the price in asset pricing
Cho, Thummim; Polk, Christopher - 2024 - This version: September 2023
Persistent link: https://www.econbiz.de/10014446429
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Fundamental properties of linear factor models
Filipović, Damir; Schneider, Paul - 2024
Persistent link: https://www.econbiz.de/10015102037
Saved in:
Cover Image
Monetary asymmetries without (and with) price stickiness
Jaccard, Ivan - 2024
The evidence suggests that monetary policy transmission is asymmetric over the business cycle. Interacting financing frictions with a preference for liquidity provides an explanation for this fact. Our mechanism generates monetary asymmetries in a model that jointly reproduces a set of asset...
Persistent link: https://www.econbiz.de/10014527042
Saved in:
Cover Image
Foreign exchange order flow as a risk factor
Burnside, Craig; Cerrato, Mario; Zhang, Zhekai - 2023
Persistent link: https://www.econbiz.de/10014234202
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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
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Estimating and testing long-run risk models : international evidence
Fulop, Andras; Li, Junye; Liu, Hening; Yan, Cheng - In: Management science : journal of the Institute for … 71 (2025) 4, pp. 3517-3536
Persistent link: https://www.econbiz.de/10015413787
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Skewness risk premia and the cross-section of currency returns
Li, Junye; Sarno, Lucio; Zinna, Gabriele - 2025
Persistent link: https://www.econbiz.de/10015484505
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