Factor Risk Premia
The research models the dynamics of stochastic discount factors, attributing high volatility and conditional heteroskedasticity to factor momentum, macro variables, and Bayesian learning.
Featured in No. 65 on 10 Sep 2024 · 1 day after release
- Released
- 9 Sep 2024
- First featured
- No. 65 · 10 Sep 2024
- Published in
- Not yet, as far as Semantic Scholar knows
- Shares when featured
- 6
- Identifier
- SSRN 4950594
Citations and venue from Semantic Scholar (ODC-BY), refreshed weekly. Summary: Quant Letter (CC BY 4.0).