Michael Herold

University of Bamberg

Kaerntenstr. 7

Bamberg, 96052

Germany

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International Stochastic Discount Factors and Covariance Risk

Number of pages: 48 Posted: 23 Sep 2014 Last Revised: 03 May 2019
Nicole Branger, Michael Herold and Matthias Muck
University of Muenster - Finance Center Muenster, University of Bamberg and University of Bamberg
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Abstract:

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Stochastic discount factors, International model, Stochastic covariance, Stochastic risk premium, Wishart process, Currency options, Foreign exchange, Unscented Kalman filter