Variance bounds on the permanent and transitory components of stochastic discount factors-Reference-Cited by-同舟云学术

登录注册会员服务联系我们

Variance bounds on the permanent and transitory components of stochastic discount factors

Published:2012-07 Issue:1 Volume:105 Page:191-208
ISSN:0304-405X
Container-title:Journal of Financial Economics
language:en
Short-container-title:Journal of Financial Economics

Author:

Bakshi Gurdip,Chabi-Yo Fousseni

Publisher

Elsevier BV

Subject

Strategy and Management,Economics and Econometrics,Finance,Accounting

Reference58 articles.

1. Ai, H., Kiku, D., 2010. Growth to Value: Option Exercise and the Cross Section of Equity Returns. Unpublished Working Paper. Duke University and University of Pennsylvania.

2. Luxury goods and the equity premium;Aït-Sahalia;Journal of Finance,2004

3. Using asset prices to measure the persistence of the marginal utility of wealth;Alvarez;Econometrica,2005

4. Disasters implied by equity index options;Backus;Journal of Finance,2011

5. The determinants of stock and bond return comovements;Baele;Review of Financial Studies,2010

Cited by 48 articles. 订阅此论文施引文献订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献

1. Constrained polynomial likelihood*;Journal of Business & Economic Statistics;2024-09-03

2. Never a Dull Moment: Entropy Risk in Commodity Markets;The Review of Asset Pricing Studies;2023-05-04

3. Index option returns and generalized entropy bounds;Journal of Financial Economics;2021-03

4. Robust identification of investor beliefs;Proceedings of the National Academy of Sciences;2020-12-14

5. Model‐Free International Stochastic Discount Factors;The Journal of Finance;2020-08-08

同舟云学术

1.学者识别学者识别

2.学术分析学术分析

3.人才评估人才评估

"同舟云学术"是以全球学者为主线，采集、加工和组织学术论文而形成的新型学术文献查询和分析系统，可以对全球学者进行文献检索和人才价值评估。用户可以通过关注某些学科领域的顶尖人物而持续追踪该领域的学科进展和研究前沿。经过近期的数据扩容，当前同舟云学术共收录了国内外主流学术期刊6万余种，收集的期刊论文及会议论文总量共计约1.5亿篇，并以每天添加12000余篇中外论文的速度递增。我们也可以为用户提供个性化、定制化的学者数据。欢迎来电咨询！咨询电话：010-8811{复制后删除}0370

www.globalauthorid.com

TOP