Historical simulation approach to the estimation of stochastic discount factor models

DOI10.1080/14697680701561365zbMath1140.91410OpenAlexW1976999951MaRDI QIDQ3518379

Andrei Semenov

Publication date: 7 August 2008

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/14697680701561365

zbMATH Keywords

asset pricingcapital asset pricingapplied econometricsapplied finance

Mathematics Subject Classification ID

Auctions, bargaining, bidding and selling, and other market models (91B26)

Cites Work

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• An empirical comparison of GARCH option pricing models
• Hedged Monte-Carlo: low variance derivative pricing with objective probabilities
• A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix
• On a measure of lack of fit in time series models
• GMM with Weak Identification
• Substitution, Risk Aversion, and the Temporal Behavior of Consumption and Asset Returns: A Theoretical Framework

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