Econometric Asset Pricing Modelling

@inproceedings{Bertholon2007EconometricAP,
  title={Econometric Asset Pricing Modelling},
  author={Henri Bertholon and Torben Andersen and Monica Billio and Bjorn Eraker and M. Fernandes and Andras Fulop and Ren{\'e} Garcia and Christian Gouri{\'e}roux and Martino Grasselli and Steve Heston and Nour Meddahi and Patrice Poncet},
  year={2007}
}
Econometric Asset Pricing Modelling The purpose of this paper is to propose a general econometric approach to 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 discrete-time risk-neutral (R.N.) factor dynamics. Retaining an exponential-affine specification of the SDF, its modelling is equivalent to the specification of the factor loading vector… CONTINUE READING

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