Identification and inference in linear stochastic discount factor models with excess returns
Year of publication: |
2016
|
---|---|
Authors: | Burnside, Craig |
Published in: |
Journal of financial econometrics : official journal of the Society for Financial Econometrics. - Oxford : Univ. Press, ISSN 1479-8409, ZDB-ID 2160581-6. - Vol. 14.2016, 2, p. 295-330
|
Subject: | GMM | macroeconomic factors | normalizations | rank conditions | spurious factors | Theorie | Theory | CAPM | Momentenmethode | Method of moments | Faktorenanalyse | Factor analysis | Kapitaleinkommen | Capital income | Schätzung | Estimation | Diskontierung | Discounting | Stochastischer Prozess | Stochastic process |
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