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Randomised mixture models for pricing kernels

Macrina, Andrea; Parbhoo, Priyanka A. - In: Asia-Pacific financial markets 21 (2014) 4, pp. 281-315

Persistent link: https://www.econbiz.de/10010511573

Sentiment lost : the effect of projecting the empirical pricing kernel onto a smaller filtration set

Sala, Carlo; Barone-Adesi, Giovanni - 2015

martingale, as required by the theory, but a strict local martingale with consequences on the validity of the risk … filtration set so that an absolutely continuous strict local martingale, once projected on it, becomes continuous with jumps …

Persistent link: https://www.econbiz.de/10011506352

On valuing stochastic perpetuities using new long horizon stock price models distinguishing booms, busts, and balanced markets

Madan, Dilip B.; Yor, Marc - In: Mathematical finance : an international journal of … 26 (2016) 2, pp. 296-328

Persistent link: https://www.econbiz.de/10011577146

Jump factor models in large cross‐sections

Li, Jia; Todorov, Viktor; Tauchen, George Eugene - In: Quantitative economics : QE ; journal of the … 10 (2019) 2, pp. 419-456

We develop tests for deciding whether a large cross‐section of asset prices obey an exact factor structure at the times of factor jumps. Such jump dependence is implied by standard linear factor models. Our inference is based on a panel of asset returns with asymptotically increasing...

Persistent link: https://www.econbiz.de/10012042424