Keywords: فاکتور تخفیف تصادفی; Finance; Commodities; Stochastic discount factor; Hidden Markov model;
مقالات ISI فاکتور تخفیف تصادفی (ترجمه نشده)
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Keywords: فاکتور تخفیف تصادفی; Stochastic discount factor; Climate finance; Cost-benefit analysis;
Keywords: فاکتور تخفیف تصادفی; E44; G12; Habit; Asset returns; Stochastic discount factor; State-dependent preferences;
Keywords: فاکتور تخفیف تصادفی; Distortion function; Stochastic discount factor; Generalized local risk-neutral valuation relationship; GARCH models; Weak convergence; Stochastic volatility;
Keywords: فاکتور تخفیف تصادفی; Stochastic discount factor; Mexico; Chile; Liquidity premiumFactor de descuento estocástico; México; Chile; Prima por liquidez
Keywords: فاکتور تخفیف تصادفی; E32; E44Incentives; Optimal contracting; Stochastic discount factor; Pay-for-luck; Relative performance
Keywords: فاکتور تخفیف تصادفی; G11; G13; C02; C61; Executive stock options; Constrained portfolio optimization; Stochastic discount factor; Non-hedgeable; Non-transferable;
Keywords: فاکتور تخفیف تصادفی; G12; Skewness; Kurtosis; Coskewness; Cokurtosis; Stochastic discount factor;
Keywords: فاکتور تخفیف تصادفی; G10; G12; E44; Stochastic discount factor; Ultimate consumption risk; Market-wide liquidity; Illiquidity premium;
Keywords: فاکتور تخفیف تصادفی; Exchange rate dynamics; Macroeconomic fundamentals; Stochastic discount factor; Term structure of interest rates; Unscented Kalman filterF31; G12; E43; C32
Keywords: فاکتور تخفیف تصادفی; Asset pricing; Equity premium; Real business cycle; Small open economy; Stochastic discount factor; Labor supply; E32; E44; F41; G12;
Keywords: فاکتور تخفیف تصادفی; Africa; Currency risk; Equity markets; Stochastic discount factor; GMM; G12; G15; F21; F31;
Keywords: فاکتور تخفیف تصادفی; D52; D53; G11; G12Skewness; Portfolio; Aggregation; Stochastic discount factor; Polynomials of pricing factors; Market return
Keywords: فاکتور تخفیف تصادفی; G12; G14; C32; E44Risk premium; Equity return; Stochastic discount factor; No-arbitrage condition
Keywords: فاکتور تخفیف تصادفی; G11; G12; G13Volatility risk premia; Stochastic discount factor; Consumption-based models; Linear factor models; Default premium
Keywords: فاکتور تخفیف تصادفی; Mutual funds; Performance measurement; Stochastic discount factor; Market timing; VolatilityG11; G23
The volatility-confined LPPL model: A consistent model of 'explosive' financial bubbles with mean-reverting residuals
Keywords: فاکتور تخفیف تصادفی; G01; G17; C11; Rational bubbles; Mean reversal; Positive feedbacks; Finite-time singularity; Super-exponential growth; Bayesian analysis; Log-periodic power law; Stochastic discount factor;
What do the Fama–French factors add to C-CAPM?
Keywords: فاکتور تخفیف تصادفی; G12; G14; C32; E44Risk premium; Equity return; Stochastic discount factor; No-arbitrage condition
Are good-news firms riskier than bad-news firms?
Keywords: فاکتور تخفیف تصادفی; G12; G14; Post-earnings-announcement drift; Stochastic discount factor; Market efficiency;
Option-implied volatility factors and the cross-section of market risk premia
Keywords: فاکتور تخفیف تصادفی; G12; G13; C32; Stochastic discount factor; Volatility components; Volatility risk premia; Value and size effects; Unscented Kalman filter;
Assessing misspecified asset pricing models with empirical likelihood estimators
Keywords: فاکتور تخفیف تصادفی; C1; C5; G1; Stochastic discount factor; Euler equations; Generalized minimum contrast estimators; Model misspecification; Cressie-Read discrepancies;
Nonparametric estimation and testing of stochastic discount factor
Keywords: فاکتور تخفیف تصادفی; C13; C14; C52; G12; Stochastic discount factor; Nonparametric estimation; HJ distance;
Evaluating alternative methods for testing asset pricing models with historical data
Keywords: فاکتور تخفیف تصادفی; C51; C52; G12Beta pricing models; Stochastic discount factor; Pricing errors; Evaluation of factor models
The volatility of consumption-based stochastic discount factors and economic cycles
Keywords: فاکتور تخفیف تصادفی; G10; G12; E44; Stochastic discount factor; Economic cycles; Volatility of stochastic discount factor; Consumption; Risk aversion;
Martingalized historical approach for option pricing
Keywords: فاکتور تخفیف تصادفی; G12; G17; C5; C8; Generalized Hyperbolic distribution; Option pricing; Incomplete market; CAC 40; Stochastic discount factor; Martingale correction;
Evaluating asset pricing models using the second Hansen-Jagannathan distance
Keywords: فاکتور تخفیف تصادفی; Stochastic discount factor; Specification test; Model selection; Hansen-Jagannathan distance; ArbitrageC51; C52; G12
Macroeconomic sources of foreign exchange risk in new EU members
Keywords: فاکتور تخفیف تصادفی; C22; F31; G15; P59; Foreign exchange risk; Time-varying risk premium; Stochastic discount factor; Multivariate GARCH-in-mean; New EU member countries;
Esscher transforms and consumption-based models
Keywords: فاکتور تخفیف تصادفی; Esscher transform; Esscher-Girsanov transform; Consumption-based model; Stochastic discount factor; Exponential affine form; Euler equation; Radon-Nikodym derivative; Utility function;
Stock market liberalization and international risk sharing
Keywords: فاکتور تخفیف تصادفی; F36; G15Stock market liberalization; Macroeconomic shocks; Risk sharing; Stochastic discount factor
Regret aversion and annuity risk in defined contribution pension plans
Keywords: فاکتور تخفیف تصادفی; C15; G12; G13; G23; IB13; IE50; IE43; IM00; Lookback option; Life annuity; Annuity risk; Defined contribution; Stochastic discount factor;
It takes a model to beat a model: Volatility bounds
Keywords: فاکتور تخفیف تصادفی; G12Asset Pricing Model; Stochastic discount factor; Volatility bound; Hansen-Jagannathan; GMM
Econometric specification of stochastic discount factor models
Keywords: فاکتور تخفیف تصادفی; C1; C5; G1; Derivative pricing; Esscher transform; Stochastic discount factor; Variance-gamma model; Semi-parametric pricing; Valorisation; Transformée d'Esscher; facteur d'escompte stochastique; Modèle variance-gamma; valorisation semi-paramétriqu
Portfolio performance measurement using APM-free kernel models
Keywords: فاکتور تخفیف تصادفی; G11; G12; Stochastic discount factor; Conditional models; Mutual fund returns; Performance measures; Generalized method of moments; Survivorship bias;