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stochastic discount factors do not price all portfolios correctly. Unlike comparisons based on x2 statistics associated with null …
Persistent link: https://www.econbiz.de/10013225177
Continuous-time Markov processes can be characterized conveniently by their infinitesimal generators. For such processes there exist forward and reverse-time generators. We show how to use these generators to construct moment conditions implied by stationary Markov processes. Generalized method...
Persistent link: https://www.econbiz.de/10013227018