Econometric specification of stochastic discount factor models
Publication:278271
DOI10.1016/j.jeconom.2005.11.015zbMath1420.91461OpenAlexW1997575166MaRDI QIDQ278271
Alain Monfort, Christian Gouriéroux
Publication date: 2 May 2016
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jeconom.2005.11.015
derivative pricingEsscher transformsemiparametric pricingstochastic discount factorvariance-gamma model
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Derivative securities (option pricing, hedging, etc.) (91G20)
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