Itens para a visualização no momento 1-3 of 3

    • Estimating the stochastic discount factor without a utility function 

      Araújo, Fabio; Issler, João Victor; Fernandes, Marcelo (Escola de Pós-Graduação em Economia da FGV, 2005-03-14)
      Using the Pricing Equation in a panel-data framework, we construct a novel consistent estimator of the stochastic discount factor (SDF) which relies on the fact that its logarithm is the serial-correlation ìcommon featureîin ...
    • A stochastic discount factor approach to asset pricing using panel data 

      Araújo, Fabio; Issler, João Victor; Fernandes, Marcelo (Escola de Pós-Graduação em Economia da FGV, 2006-11-01)
      Using the Pricing Equation, in a panel-data framework, we construct a novel consistent estimator of the stochastic discount factor (SDF) mimicking portfolio which relies on the fact that its logarithm is the ìcommon ...
    • A stochastic discount factor approach to asset pricing using panel data asymptotics 

      Araújo, Fabio; Issler, João Victor (Fundação Getulio Vargas. Escola de Pós-graduação em Economia, 2011-05-27)
      Using the Pricing Equation in a panel-data framework, we construct a novel consistent estimator of the stochastic discount factor (SDF) which relies on the fact that its logarithm is the 'common feature' in every asset ...