Listagem por autor "Araújo, Fabio"
Itens para a visualização no momento 1-6 of 6
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Ensaios sobre o fator estocástico de descontos
2009-08-10This work proposes alternative ways to consistently estimate an abstract measure, crucial to the study of intertemporal decisions, which is at the core of most macroeconomics and financial studies: the Stochastic Discount ... -
Estimating the stochastic discount factor without a utility function
2005-03-14Using 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 ... -
Identificação do fator estocástico de descontos e algumas implicações sobre testes de modelos de consumo
2003-06-12Retornando à utilização de técnicas de séries de tempo para a estimação de parâmetros das preferências dos indivíduos, este trabalho investiga o tradicional problema do consumo intertemporal ótimo do tipo CCAPM por um novo ... -
A stochastic discount factor approach to asset pricing using panel data
2006-11-01Using 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
2012-12Trabalho apresentado por João Victor Issler - FGV EPGE no contexto do evento "Asset Pricing and Portfolio Allocation in the Long Run". Mais informações em: http://epge.fgv.br/conferencias/longrun/index.php -
A stochastic discount factor approach to asset pricing using panel data asymptotics
2011-05-27Using 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 ...
