Stochastic discount factor estimation using state-space theory and the Kalman filter

Stochastic discount factor estimation using state-space theory and the Kalman filter

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Do the correlations between kernels from emerging and established markets vary over time? ... Note that, because the Kalman filter generates fairly precise estimates over small data sets, it is particularly well ... Thus, one could study whether firms issue stock when the stochastic discount factor is predicted to be low in theanbsp;...


Title:Stochastic discount factor estimation using state-space theory and the Kalman filter
Author: Serena Atim Agoro-Menyang
Publisher: - 1996
ISBN-13:

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