Letent Variable Models for Stochastic Discount Factors

René Garcia and Eric 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)
Pages: 31 pages
Date: 2000
References: Add references at CitEc
Citations:

There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it.

Related works:
Working Paper: Latent Variable Models for Stochastic Discount Factors (2000)
Working Paper: Latent Variable Models for Stochastic Discount Factors (1999)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:mtl:montec:2000-01

Access Statistics for this paper

More papers in Cahiers de recherche from Centre interuniversitaire de recherche en économie quantitative, CIREQ Contact information at EDIRC.
Bibliographic data for series maintained by Sharon BREWER ().