Browsing Faculté des arts et des sciences – Département de sciences économiques - Travaux et publications by Subject "facteurs d'actualisation stochastiques"
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Latent Variable Models for Stochastic Discount Factors
(Université de Montréal. Département de sciences économiques., 2000)Latent variable models in finance originate both from asset pricing theory and time series analysis. These two strands of literature appeal to two different concepts of latent structures, which are both useful to reduce the dimension of a statistical ...