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  • Search: subject:"The Stochastic Discount Factor"
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Year of publication
Subject
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GARCH 3 term premia 3 term structure 3 the stochastic discount factor model 3 ARCH-Modell 1 Consumption-based CAPM 1 Hansen-Jagannathan bounds 1 Indirect utility function 1 Intertemporal two-stage budgeting 1 Makroökonomischer Einfluss 1 Risikoprämie 1 Risk aversion 1 Risk-neutral measures 1 Schätzung 1 The stochastic discount factor 1 Vereinigte Staaten 1 Zinsstruktur 1 Zinsstrukturtheorie 1 no-arbitrage 1 objective probability measures 1 volatility of the stochastic discount factor 1
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Online availability
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Free 5
Type of publication
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Book / Working Paper 5
Type of publication (narrower categories)
All
Working Paper 1
Language
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English 3 Undetermined 2
Author
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Balfoussia, Chiona 3 Bakshi, Gurdip 1 Chen, Zhiwu 1 Hjalmarsson, Erik 1 Kim, H. Youn 1 McLaren, Keith R. 1 Wickens, Michael 1 Wickens, Michael R. 1 Wickens, Mike 1 Wong, K.K. Gary 1
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Institution
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CESifo 1 Centro di Studi Internazionali Sull'Economia e la Sviluppo (CEIS), Facoltà di Economia 1 Department of Econometrics and Business Statistics, Monash Business School 1 Nationalekonomiska institutionen, Handelshögskolan 1
Published in...
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CEIS Research Paper 1 CESifo Working Paper 1 CESifo Working Paper Series 1 Monash Econometrics and Business Statistics Working Papers 1 Working Papers in Economics 1
Source
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RePEc 4 EconStor 1
Showing 1 - 5 of 5
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Consumer Demand, Consumption, and Asset Pricing: An Integrated Analysis
Kim, H. Youn; McLaren, Keith R.; Wong, K.K. Gary - Department of Econometrics and Business Statistics, … - 2014
This paper integrates seemingly disjoint studies on consumer behavior in micro and macro analyses via the intertemporal two-stage budgeting procedure with durable goods and liquidity constraints. The model accounts for the influences of nondurables consumption, commodity prices, and durables...
Persistent link: https://www.econbiz.de/10010958950
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Volatility of the Stochastic Discount Factor, and the Distinction between Risk-Neutral and Objective Probability Measures
Bakshi, Gurdip; Chen, Zhiwu; Hjalmarsson, Erik - Nationalekonomiska institutionen, Handelshögskolan - 2005
stochastic discount factor. This theoretical result gives an alternative interpretation to the Hansen-Jagannathan bounds: they … measures for any candidate asset pricing model. We formally show that the distance metric is equal to the volatility of the …
Persistent link: https://www.econbiz.de/10005423928
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Macroeconomic sources of risk in the term structure
Balfoussia, Chiona; Wickens, Mike - 2004
In this paper we develop a new way of modelling time variation in term premia. This is based on the stochastic discount … factor model of asset pricing with observable macroeconomic factors. The joint distribution of excess holding period US bond …
Persistent link: https://www.econbiz.de/10010261080
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Cover Image
Macroeconomic Sources of Risk in the Term Structure
Balfoussia, Chiona; Wickens, Michael - CESifo - 2004
In this paper we develop a new way of modelling time variation in term premia. This is based on the stochastic discount … factor model of asset pricing with observable macroeconomic factors. The joint distribution of excess holding period US bond …
Persistent link: https://www.econbiz.de/10005765955
Saved in:
Cover Image
Macroeconomic Sources of Risk in the Term Structure
Wickens, Michael R.; Balfoussia, Chiona - Centro di Studi Internazionali Sull'Economia e la … - 2004
n this paper we develop a new way of modelling time variation in term premia. This is based on the stochastic discount … factor model of asset pricing with observable macroeconomic factors. The joint distribution of excess holding period US bond …
Persistent link: https://www.econbiz.de/10005695012
Saved in:
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