Estimating stochastic discount factor models with hidden regimes : applications to commodity pricing
Marta Giampietro, Massimo Guidolin, Manuela Pedio
| Year of publication: |
1 March 2018
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|---|---|
| Authors: | Giampietro, Marta ; Guidolin, Massimo ; Pedio, Manuela |
| Published in: |
European journal of operational research : EJOR. - Amsterdam : Elsevier, ISSN 0377-2217, ZDB-ID 243003-4. - Vol. 265.2018, 2 (1.3.), p. 685-702
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| Subject: | Finance | Commodities | Stochastic discount factor | Hidden Markov model | CAPM | Theorie | Theory | Stochastischer Prozess | Stochastic process | Markov-Kette | Markov chain | Diskontierung | Discounting | Schätzung | Estimation |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.ejor.2017.07.045 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011811481