Estimating stochastic discount factor models with hidden regimes: applications to commodity pricing

DOI10.1016/J.EJOR.2017.07.045zbMath1376.62061OpenAlexW2739726144MaRDI QIDQ1681295

Manuela Pedio, Massimo Guidolin, Marta Giampietro

Publication date: 23 November 2017

Published in: European Journal of Operational Research (Search for Journal in Brave)

Full work available at URL: https://econpapers.repec.org/RePEc:igi:igierp:614

zbMATH Keywords

hidden Markov modelfinancestochastic discount factorcommodities

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05)

Related Items (4)

Modelling and filtering for dynamic investment in the precious-metals market ⋮ Local Gaussian correlations in financial and commodity markets ⋮ Forecasting commodity futures returns with stepwise regressions: do commodity-specific factors help? ⋮ Adaptive expectations and commodity risk premiums

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