Letent Variable Models for Stochastic Discount Factors

R. Garcia and E. Renault

Cahiers de recherche from Centre interuniversitaire de recherche en économie quantitative, CIREQ

Abstract: In this paper, we provided a unifying analysis of latent variable models in finance through the concept of stochastic discount factor (SDF).

Keywords: LATENT VARIABLES; PRICING; ECONOMIC MODELS (search for similar items in EconPapers)
JEL-codes: G10 G12 (search for similar items in EconPapers)
Date: 2000

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