Empirical reverse engineering of the pricing kernel

Journal of Econometrics

Volumn 116, Issue 1-2, 2003, Pages 329-364

  Chernov, Mikhail ^a  

^a Och Spine at New York Presbyterian Hospitals   (United States)

Author keywords

Affine models; Derivatives; Pricing kernel; Reprojection; Simulated method of moments; Stochastic discount factor

Indexed keywords

COSTS; MATHEMATICAL MODELS; METHOD OF MOMENTS; NONLINEAR SYSTEMS; RANDOM PROCESSES; REVERSE ENGINEERING;

DISCOUNT FACTORS; PRICING KERNELS;

ECONOMICS;

EID: 0346937478     PISSN: 03044076     EISSN: None     Source Type: Journal    
DOI: 10.1016/S0304-4076(03)00111-8     Document Type: Article

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