Bertholon, H.; Monfort, A.; Pegoraro, F. - In: Journal of Financial Econometrics 6 (2008) 4, pp. 407-458
The purpose of this paper is to propose a general econometric approach to no-arbitrage asset pricing modelling based on three main ingredients: (i) the historical discrete-time dynamics of the factor representing the information, (ii) the stochastic discount factor (SDF), and (iii) the...