Asset pricing in the frequency domain: theory and empirics Ian Dew-Becker and Stefano Giglio 2nd April 2013 Abstract In many a¢ne asset pricing models, the innovation to the pricing kernel is a function of - Fourier analysis - Document - PDFSEARCH.IO

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	Asset pricing in the frequency domain: theory and empirics Ian Dew-Becker and Stefano Giglio 2nd April 2013 Abstract In many a¢ne asset pricing models, the innovation to the pricing kernel is a function of Add to Reading List Document Date: 2014-05-26 18:15:26 Open Document File Size: 863,23 KB Share Result on Facebook Facility University of Bergen / University of Chicago / / Holiday Assumption / / IndustryTerm element-by-element product / empirical applications / / NaturalFeature Et+1 mt / / Organization San Francisco Fed / University of Chicago / Booth School of Business / Federal Reserve Bank of San Francisco / University of Bergen / US Federal Reserve / Board of Governors / / Person Ian Dew-Becker / Nikola Mirkov / Marius Rodriguez / John Campbell / Eric Swanson / Stefano Giglio / / Position representative / / SocialTag Financial economics Control theory Digital signal processing Time series analysis Fourier analysis Shock Capital asset pricing model Impulse response Filter Mathematical finance

Asset pricing in the frequency domain: theory and empirics Ian Dew-Becker and Stefano Giglio 2nd April 2013 Abstract In many a¢ne asset pricing models, the innovation to the pricing kernel is a function ofAdd to Reading List