International stochastic discount factors and covariance risk
Nicole Branger, Michael Herold, Matthias Muck
| Year of publication: |
2021
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|---|---|
| Authors: | Branger, Nicole ; Herold, Michael ; Muck, Matthias |
| Published in: |
Journal of banking & finance. - Amsterdam [u.a.] : Elsevier, ISSN 0378-4266, ZDB-ID 752905-3. - Vol. 123.2021, p. 1-18
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| Subject: | Stochastic discount factors | International model | Stochastic covariance | Stochastic risk premium | Wishart process | Currency options | Foreign exchange | Unscented Kalman filter | Theorie | Theory | Stochastischer Prozess | Stochastic process | CAPM | Risikoprämie | Risk premium | Diskontierung | Discounting | Devisenoption | Currency option | Zustandsraummodell | State space model | Korrelation | Correlation | Zeitreihenanalyse | Time series analysis | Volatilität | Volatility |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.jbankfin.2020.106018 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012662322