The purpose of the paper is to introduce, in a discrete-time no-arbitrage pricing context, a bridge between the historical and the risk-neutral state vector dynamics which is wider than the one implied by a classical exponential-affine stochastic discount factor (SDF) and to preserve, at the...

The purpose of this paper is to propose a general econometric approach to no-arbitrage asset pricing modelling based on three main ingredients: (i) the historical discrete-time dynamics of the factor representing the information, (ii) the Stochastic Discount Factor (SDF), and (iii) the...

The purpose of the paper is to introduce, in the class of discrete time no-arbitrage asset pricing models, a wider bridge between the historical and the risk-neutral state vector dynamics and to preserve, at the same time, its tractability and flexibility. This goal is achieved by introducing...