Econometric specification of stochastic discount factor models

DOI10.1016/J.JECONOM.2005.11.015zbMATH Open1420.91461OpenAlexW1997575166MaRDI QIDQ278271FDOQ278271

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

zbMATH Keywords

Esscher transformderivative pricingsemiparametric pricingstochastic discount factorvariance-gamma model

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Derivative securities (option pricing, hedging, etc.) (91G20) Applications of statistics to actuarial sciences and financial mathematics (62P05)

Cites Work

• The pricing of options and corporate liabilities
• A theory of the term structure of interest rates
• A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
• Martingales and arbitrage in multiperiod securities markets
• Transform Analysis and Asset Pricing for Affine Jump-diffusions
• Title not available (Why is that?)
• The Variance Gamma Process and Option Pricing
• Substitution, Risk Aversion, and the Temporal Behavior of Consumption and Asset Returns: A Theoretical Framework
• A Bayesian approach to diagnosis of asset pricing models
• Asset Prices in an Exchange Economy
• Title not available (Why is that?)
• Option Pricing With V. G. Martingale Components¹
• Noncausal vector autoregressive process: representation, identification and semi-parametric estimation
• THE GARCH OPTION PRICING MODEL
• Efficient Derivative Pricing by the Extended Method of Moments
• Structural Laplace Transform and Compound Autoregressive Models
• On Esscher Transforms in Discrete Finance Models
• Title not available (Why is that?)
• Title not available (Why is that?)
• Term Structures of Credit Spreads with Incomplete Accounting Information
• The Role of Conditioning Information in Deducing Testable Restrictions Implied by Dynamic Asset Pricing Models
• Changes of numéraire, changes of probability measure and option pricing
• State Price Density, Esscher Transforms, and Pricing Options on Stocks, Bonds, and Foreign Exchange Rates

Cited In (95)

• Approximating volatility diffusions with CEV-ARCH models
• Bayesian option pricing using mixed normal heteroskedasticity models
• Testing normality: a GMM approach
• A COMPARISON OF PRICING KERNELS FOR GARCH OPTION PRICING WITH GENERALIZED HYPERBOLIC DISTRIBUTIONS
• Perfect simulation of stationary equilibria
• The New Keynesian Phillips curve revisited
• Exact tests for contemporaneous correlation of disturbances in seemingly unrelated regressions.
• Particle filters for continuous likelihood evaluation and maximisation
• Monte Carlo methods for estimating, smoothing, and filtering one- and two-factor stochastic volatility models
• A fast subsampling method for nonlinear dynamic models
• Monte Carlo tests with nuisance parameters: a general approach to finite-sample inference and nonstandard asymptotics
• Simulation-based estimation of peer effects
• Dynamic quantile models
• A Bayesian approach to estimate the marginal loss distributions in operational risk management
• Non-parametric estimation of sequential English auctions
• Model equivalence tests in a parametric framework
• Structural change tests for simulated method of moments.
• Finite-sample simulation-based inference in VAR models with application to Granger causality testing
• PRICING KERNEL ESTIMATION: A LOCAL ESTIMATING EQUATION APPROACH
• Adaptive consistent unit-root tests based on autoregressive threshold model
• Short run and long run causality in time series: inference
• Consistency for the negative binomial regression with fixed covariate
• Indirect estimation of large conditionally heteroskedastic factor models, with an application to the Dow 30 stocks
• Social security and the retirement and savings behavior of low-income households
• Mixture models of choice under risk
• Estimating the structural credit risk model when equity prices are contaminated by trading noises
• Simulation based selection of competing structural econometric models
• Two-stage generalized moment method with applications to regressions with heteroscedasticity of unknown form
• Econometric models of asymmetric ascending auctions
• Rescaled variance and related tests for long memory in volatility and levels
• Model-based asymptotic inference on the effect of infrequent large shocks on cointegrated variables
• Bayesian averaging, prediction and nonnested model selection
• Robust model selection with covariables missing at random
• Level-\(k\) reasoning in a generalized beauty contest
• Generalized moment estimation of stochastic differential equations
• A new instrumental method for dealing with endogenous selection
• GARCH option pricing models with Meixner innovations
• Specification and Identification of Stochastic Demand Models
• Conditional asymmetry in power ARCH\((\infty)\) models
• Stochastic volatility duration models
• The stochastic conditional duration model: a latent variable model for the analysis of financial durations
• On the end-performance metric estimator selection
• Pseudo maximum likelihood estimation of structural models involving fixed-point problems
• Indirect inference in fractional short-term interest rate diffusions
• EFFICIENT ESTIMATION USING THE CHARACTERISTIC FUNCTION
• Testing multiple inequality hypotheses: a smoothed indicator approach
• Statistical inference for independent component analysis: application to structural VAR models
• Noncausal vector autoregressive process: representation, identification and semi-parametric estimation
• A permanent-transitory decomposition for ARFIMA processes
• Short and long run causality measures: theory and inference
• Factor models for multivariate count data.
• Simulated maximum likelihood estimation for discrete choices using transformed simulated frequencies
• On the uniqueness of the maximum likelihood estimator.
• Joint econometric modeling of spot electricity prices, forwards and options
• The (mis)specification of discrete duration models with unobserved heterogeneity: a Monte Carlo study
• Esscher transforms and consumption-based models
• Structural Laplace Transform and Compound Autoregressive Models
• The estimation of multidimensional fixed effects panel data models
• Optimal prediction pools
• Estimation with overidentifying inequality moment conditions
• Bayesian estimation of a lifetime distribution under double truncation caused by time-restricted data collection
• Time series properties of aggregated AR(1) processes with uniformly distributed coefficients.
• Higher-order properties of approximate estimators
• On loss functions and ranking forecasting performances of multivariate volatility models
• Semi-parametric estimation of American option prices
• A note about model selection and tests for non-nested contingent valuation models
• Retrospective sampling of survival data based on a Poisson birth process: conditional maximum likelihood
• Auxiliary Likelihood-Based Approximate Bayesian Computation in State Space Models
• Identification-robust moment-based tests for Markov switching in autoregressive models
• Asymptotic properties of the maximum likelihood estimator in regime switching econometric models
• Latent variable models for stochastic discount factors
• Goodness-of-fit tests for Markov Switching VAR models using spectral analysis
• Unit root econometrics and economic nonlinearities
• OPTION PRICING USING A REGIME SWITCHING STOCHASTIC DISCOUNT FACTOR
• Option valuation with IG-GARCH model and a U-shaped pricing kernel
• Generalized Covariance Estimator
• Volatility-Related Exchange Traded Assets: An Econometric Investigation
• A financial CCAPM and economic inequalities
• A two-step estimator for multilevel latent class analysis with covariates
• Estimation and Testing in M‐quantile Regression with Applications to Small Area Estimation
• Volatility flocking by Cucker-Smale mechanism in financial markets
• Double instrumental variable estimation of interaction models with big data
• A discrete-time hedging framework with multiple factors and fat tails: on what matters
• Stochastic specification and the international GDP series
• COHERENT INCURRED PAID (CIP) MODELS FOR CLAIMS RESERVING
• Shrinkage estimation and forecasting in dynamic regression models under structural instability
• On the consistency of a cross-sectional GMM estimator in the presence of an observable stochastic common data shock
• Title not available (Why is that?)
• Robust simulation-based estimation
• A doubly restricted exponential dispersion model
• Simplex regression models with measurement error
• A two-step estimator for generalized linear models for longitudinal data with time-varying measurement error
• Factor double autoregressive models with application to simultaneous causality testing
• Smile from the past: a general option pricing framework with multiple volatility and leverage components
• Two-step estimation of models between latent classes and external variables

   Recommendations

• Nonparametric Pricing of Interest Rate Derivative Securities 👍 👎
• Pricing kernel estimation: a local estimating equation approach 👍 👎
• A nonparametric approach to stochastic discount factor estimation 👍 👎
• Pricing interest-rate-derivative securities 👍 👎
• Latent variable models for stochastic discount factors 👍 👎

This page was built for publication: Econometric specification of stochastic discount factor models

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q278271)