1. Econometric specification of stochastic discount factor models
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Econometric specification of stochastic discount factor models
By C. Gourieroux & A. Monfort
Journal of Econometrics(2007)

2. SDF Modeling: the Principle Examples:
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Framework
Examples of SDFs
SDF Modeling: the Principle
Examples:
Conditional Gaussian Framework
Variance Gamma Model
Semi-Parametric Specification
General Specification
Additional Factors
Stochastic Interest Rate
Concluding Remarks
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3. Examples of SDFs(1)
In financial theory the expressions of SDFs are generally derived under either an Equilibrium condition, or Arbitrage free restrictions in a continuous time framework
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4. Examples of SDFs(2)
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5. Examples of SDFs(3)
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6. Examples of SDFs(4)
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7. Examples of SDFs(5)
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8. SDF Modeling: the Principle(1)
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9. SDF Modeling: the Principle(2)
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10. SDF Modeling: the Principle(3)
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11. SDF Modeling: the Principle(4)
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12. SDF Modeling: the Principle(5)
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13. SDF Modeling: the Principle(6)
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14. Examples(1)
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15. Examples(2)
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16. Examples(3)
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17. Examples(4)
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18. Examples(5)
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19. Examples(6)
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20. Examples(7)
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21. Examples(8)
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22. Examples(9)
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23. Examples(10)
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24. General Specification(1)
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25. General Specification(2)
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26. General Specification(3)
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27. General Specification(4)
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28. General Specification(5)
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29. General Specification(6)
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30. General Specification(7)
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31. General Specification(8)
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32. General Specification(9)
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33. General Specification(10)
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34. General Specification(11)
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35. General Specification(12)
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36. General Specification(13)
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37. General Specification(14)
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38. General Specification(15)
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39. General Specification(16)
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40. General Specification(17)
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41. Concluding Remarks
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42. Thanks Your suggestion is welcome!
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