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Letent Variable Models for Stochastic Discount Factors

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Author Info

  • Garcia, R.
  • Renault, E.

Abstract

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

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Bibliographic Info

Paper provided by Centre interuniversitaire de recherche en économie quantitative, CIREQ in its series Cahiers de recherche with number 2000-01.

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Length: 31 pages
Date of creation: 2000
Date of revision:
Handle: RePEc:mtl:montec:2000-01

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Keywords: LATENT VARIABLES ; PRICING ; ECONOMIC MODELS;

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References

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  1. David M Kreps & Evan L Porteus, 1978. "Temporal Resolution of Uncertainty and Dynamic Choice Theory," Levine's Working Paper Archive 625018000000000009, David K. Levine.
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  5. King, Mervyn & Sentana, Enrique & Wadhwani, Sushil, 1994. "Volatility and Links between National Stock Markets," Econometrica, Econometric Society, vol. 62(4), pages 901-33, July.
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  7. GARCIA,René & LUGER, Richard & RENAULT, Éric, 2001. "Asymmetric Smiles, Leverage Effects and Structural Parameters," Cahiers de recherche 2001-09, Universite de Montreal, Departement de sciences economiques.
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  10. Torben G. Andersen & Tim Bollerslev & Francis X. Diebold & Paul Labys, 1999. "The Distribution of Exchange Rate Volatility," New York University, Leonard N. Stern School Finance Department Working Paper Seires 99-059, New York University, Leonard N. Stern School of Business-.
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  16. Florens, J P & Mouchart, M, 1982. "A Note on Noncausality," Econometrica, Econometric Society, vol. 50(3), pages 583-91, May.
  17. Hamilton, James D, 1989. "A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle," Econometrica, Econometric Society, vol. 57(2), pages 357-84, March.
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  22. Ross, Stephen A., 1976. "The arbitrage theory of capital asset pricing," Journal of Economic Theory, Elsevier, vol. 13(3), pages 341-360, December.
  23. Kaushik I. Amin & Robert A. Jarrow, 1992. "Pricing Options On Risky Assets In A Stochastic Interest Rate Economy," Mathematical Finance, Wiley Blackwell, vol. 2(4), pages 217-237.
  24. Lucas, Robert E, Jr, 1978. "Asset Prices in an Exchange Economy," Econometrica, Econometric Society, vol. 46(6), pages 1429-45, November.
  25. MEDDAHI, Nour & RENAULT, Éric, 1998. "Aggregations and Marginalization of GARCH and Stochastic Volatility Models," Cahiers de recherche 9818, Universite de Montreal, Departement de sciences economiques.
  26. Nelson, Daniel B, 1991. "Conditional Heteroskedasticity in Asset Returns: A New Approach," Econometrica, Econometric Society, vol. 59(2), pages 347-70, March.
  27. Diebold, Francis X & Nerlove, Marc, 1989. "The Dynamics of Exchange Rate Volatility: A Multivariate Latent Factor Arch Model," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 4(1), pages 1-21, Jan.-Mar..
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  29. Eric Ghysels & Andrew Harvey & Éric Renault, 1995. "Stochastic Volatility," CIRANO Working Papers 95s-49, CIRANO.
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Citations

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Cited by:
  1. René Garcia & Richard Luger & Éric Renault, 2001. "Asymmetric Smiles, Leverage Effects and Structural Parameters," CIRANO Working Papers 2001s-01, CIRANO.
  2. René Garcia & Eric Ghysels & Éric Renault, 2004. "The Econometrics of Option Pricing," CIRANO Working Papers 2004s-04, CIRANO.
  3. Paul D. Gilbert & Lise Pichette, 2003. "Dynamic Factor Analysis for Measuring Money," Working Papers 03-21, Bank of Canada.

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