SZodixStudyAcademic Library

Shelves Open access

Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated

Econometric specification of stochastic discount factor models · Study

ArticleShelves

ArticleEconometric specification of stochastic discount factor models

Christian Gouriéroux2006

Article2006

Econometric specification of stochastic discount factor models

Christian Gouriéroux · Alain Monfort

94 citations·0/0 files stored·Journal of Econometrics

No readable copy stored yet — this record is metadata only.

No open-access location is known for this record yet.

Literature note Cite in a project Citation map

Stochastic processes and financial applications Financial Markets and Investment Strategies Economic theories and models

Abstract

No abstract was published for this record.

Paper brief

Loading…

Cite this work

Citation unavailable for this work.

BibTeX RIS CSL-JSON

No public copy is stored for this record, so only the metadata is cited.

Citations in this library

Citation map →

Stored only when both papers are in the corpus — 94 citations exist upstream.

References

1973The Pricing of Options and Corporate Liabilities 1993A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options 1985A Theory of the Term Structure of Interest Rates 1978Asset Prices in an Exchange Economy 1989Substitution, Risk Aversion, and the Temporal Behavior of Consumption and Asset Returns: A Theoretical Framework 1987The Pricing of Options on Assets with Stochastic Volatilities 1979Martingales and arbitrage in multiperiod securities markets 2000Transform Analysis and Asset Pricing for Affine Jump-diffusions

Cited by

2006Affine Models for Credit Risk Analysis 2015Smile from the past: A general option pricing framework with multiple volatility and leverage components 2010Pricing and Inference with Mixtures of Conditionally Normal Processes 2006Switching VARMA Term Structure Models 2008Optimal portfolio allocation under asset and surplus VaR constraints 2008

Related works

Explore the map →

Papers that cite the same references — the relational fallback while embeddings are still backfilling.

2010The Econometrics of Option Pricingchapter · 16 shared references 2004The Econometrics of Option Pricingpreprint · 15 shared references 2010Efficient Derivative Pricing by the Extended Method of Momentspreprint · 13 shared references 2004On pricing derivatives under GARCH models: a dynamic Gerber-Shiu's approacharticle · 11 shared references 2000Continuous‐Time Methods in Finance: A Review and an Assessmentarticle · 10 shared references 2004ANNIVERSARY ARTICLE: Option Pricing: Valuation Models and Applicationsarticle · 10 shared references

Details

Year2006

Typearticle

Published2006-02-20

VenueJournal of Econometrics

ISSN-L0304-4076

Languageen

Citations94

Files0 public / 0

ShelfStochastic processes and financial applications

Identifiers

doi10.1016/j.jeconom.2005.11.015

openalex_workW1997575166

Links

Imported from OpenAlex (CC0) — nothing here is generated.

Econometric Asset Pricing Modelling

2016Volatility-Related Exchange Traded Assets: An Econometric Investigation

2013Risk Premium, Variance Premium, and the Maturity Structure of Uncertainty