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Synopsis
Excerpt from Econometric Evaluation of Asset Pricing Models
Thus a stochastic discount factor m discounts payoffs in each state of the world and, as a consequence, adjusts the price according to the riskiness of the payoff. From the vantage point of an empirical analysis, we envision the stochastic discount factor as the vehicle linking a theoretical model to observable implications.
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Excerpt from Econometric Evaluation of Asset Pricing Models: August, 1993
Thus a stochastic discount factor m discounts payoffs in each state of the world and, as a consequence, adjusts the price according to the riskiness of the payoff. From the vantage point of an empirical analysis, we envision the stochastic discount factor as the vehicle linking a theoretical model to observable implications.
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- ÉditeurForgotten Books
- Date d'édition2018
- ISBN 10 133027833X
- ISBN 13 9781330278338
- ReliureBroché
- Langueanglais
- Nombre de pages72
- Coordonnées du fabricantnon disponible
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Econometric Evaluation of Asset Pricing Models August, 1993 Classic Reprint
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Econometric Evaluation of Asset Pricing Models August, 1993 Classic Reprint
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Econometric Evaluation of Asset Pricing Models: August, 1993 (Classic Reprint)
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Paperback. Etat : New. Print on Demand. This book offers advanced econometric techniques for evaluating and improving asset pricing models while considering the impact of market frictions and imperfections. It begins by presenting a theoretical framework for understanding the relationship between asset prices and stochastic discount factors, emphasizing the role of short-sale constraints and proportional transaction costs. The author develops two types of boundsâ"volatility and specification-errorâ"which quantify the potential pricing errors associated with a given model. These econometric tools allow researchers to assess the performance of asset pricing models and to identify areas where improvements can be made. The book also provides guidance on how to test specific models of the discount factor and how to estimate the parameters of parameterized families of models. By providing a comprehensive framework for evaluating asset pricing models, this book advances the field of econometrics and offers valuable insights for researchers and practitioners interested in improving the accuracy and reliability of financial models. This book is a reproduction of an important historical work, digitally reconstructed using state-of-the-art technology to preserve the original format. In rare cases, an imperfection in the original, such as a blemish or missing page, may be replicated in the book. print-on-demand item. N° de réf. du vendeur 9781330278338_0
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ECONOMETRIC EVALUATION OF ASSE
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Etat : New. KlappentextrnrnExcerpt from Econometric Evaluation of Asset Pricing Models: August, 1993Thus a stochastic discount factor m discounts payoffs in each state of the world and, as a consequence, adjusts the price according to the riskiness . N° de réf. du vendeur 2147745918
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Econometric Evaluation of Asset Pricing Models: August, 1993 (Classic Reprint)
Vendeur : Revaluation Books, Exeter, Royaume-Uni
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Paperback. Etat : Brand New. 72 pages. 9.00x6.00x0.17 inches. In Stock. N° de réf. du vendeur __133027833X
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Econometric Evaluation of Asset Pricing Models: August, 1993 (Classic Reprint)
impression à la demandeVendeur : Revaluation Books, Exeter, Royaume-Uni
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Paperback. Etat : Brand New. 72 pages. 9.00x6.00x0.17 inches. This item is printed on demand. N° de réf. du vendeur zk133027833X
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