Estimating stochastic discount factor models with hidden regimes: applications to commodity pricing
type: Item
instance of: scholarly article
title: Estimating stochastic discount factor models with hidden regimes: applications to commodity pricing
zbMATH Open document ID: 1376.62061
author: Marta Giampietro
author: Massimo Guidolin
author: Manuela Pedio
published in: European Journal of Operational Research
publication date: 2017-11-23T00:00:00Z
full work available at URL: RePEc:igi:igierp:614
Mathematics Subject Classification ID: 62P05
zbMATH DE Number: 6811866
zbMATH Keywords: finance
zbMATH Keywords: commodities
zbMATH Keywords: stochastic discount factor
zbMATH Keywords: hidden Markov model
MaRDI profile type: Publication
OpenAlex ID: W2739726144
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DOI: 10.1016/J.EJOR.2017.07.045
description: scientific article; zbMATH DE number 6811866