Marta Giampietro, Massimo Guidolin, Manuela Pedio. Estimating stochastic discount factor models with hidden regimes: Applications to commodity pricing. European Journal of Operational Research, 265(2):685-702, 2018. [doi]
@article{GiampietroGP18, title = {Estimating stochastic discount factor models with hidden regimes: Applications to commodity pricing}, author = {Marta Giampietro and Massimo Guidolin and Manuela Pedio}, year = {2018}, doi = {10.1016/j.ejor.2017.07.045}, url = {https://doi.org/10.1016/j.ejor.2017.07.045}, researchr = {https://researchr.org/publication/GiampietroGP18}, cites = {0}, citedby = {0}, journal = {European Journal of Operational Research}, volume = {265}, number = {2}, pages = {685-702}, }