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Cash flows discounted using a model-free SDF extracted under a yield curve prior

Gallant, A. Ronald; Tauchen, George Eugene - In: Journal of risk and financial management : JRFM 14 (2021) 3/100, pp. 1-15

We developed a model-free Bayesian extraction procedure for the stochastic discount factor under a yield curve prior …

Persistent link: https://www.econbiz.de/10012484936

Financial Markets Efficiency and Economic Behaviour : Evaluating Euro Area Economies

Tomat, Gian Maria - 2023

Chapter 1 Introduction -- Chapter 2 Efficient markets -- Chapter 3 Equity premium -- Chapter 4 The dividend ratio model -- Chapter 5 Bond valuation -- Chapter 6 Yield curves -- Chapter 7 Term structure models -- Chapter 8 Real estate market -- Chapter 9 Derivative securities -- Chapter 10...

Persistent link: https://www.econbiz.de/10014337024

A global factor in variance risk premia and local bond pricing

Kaminska, Iryna; Roberts-Sklar, Matt - 2015

Persistent link: https://www.econbiz.de/10011443308

Long-term factorization of affine pricing kernels

Qin, Likuan; Linetsky, Vadim - In: Mathematics and financial economics 11 (2017) 4, pp. 479-498

Persistent link: https://www.econbiz.de/10011900582

Long-term risk : a martingale approach

Qin, Likuan; Linetsky, Vadim - In: Econometrica : journal of the Econometric Society, an … 85 (2017) 1, pp. 299-312

Persistent link: https://www.econbiz.de/10011738495

Macroeconomic fundamentals and the exchange rate dynamics : a no-arbitrage macro-finance approach

Ying, Weiwei; Li, Junye - In: Journal of international money and finance 41 (2014), pp. 46-64

Persistent link: https://www.econbiz.de/10010338744

Back to the real economy : the effects of risk perception shocks on the term premium and bank lending

Bluwstein, Kristina; Yung, Julieta - 2019

Persistent link: https://www.econbiz.de/10012201135

The macroeconomic shock with the highest price of risk

Pinter, Gabor - 2016

Persistent link: https://www.econbiz.de/10012171863

Long-term factorization in Heath-Jarrow-Morton models

Qin, Likuan; Linetsky, Vadim - In: Finance and stochastics 22 (2018) 3, pp. 621-641

Persistent link: https://www.econbiz.de/10011945879

Exchange rate risk and business cycles

Lloyd, Simon; Marin, Emile A - 2020

Persistent link: https://www.econbiz.de/10012534804

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