Which factors are risk factors in asset pricing? : a model scan framework
Year of publication: |
2020
|
---|---|
Authors: | Chib, Siddhartha ; Zeng, Xiaming |
Published in: |
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association. - Abingdon : Taylor & Francis, ISSN 1537-2707, ZDB-ID 2043744-4. - Vol. 38.2020, 4, p. 771-783
|
Subject: | Bayes inference | Marginal likelihood | MCMC sampling | Metropolis-Hastings | Pricing kernel | Stochastic discount factor | CAPM | Theorie | Theory | Diskontierung | Discounting | Stichprobenerhebung | Sampling | Kapitaleinkommen | Capital income | Stochastischer Prozess | Stochastic process |
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