Book of Donmon Teith

Many financial models are evaluated using the stochastic discount factor (SDF) approach because of its simplicity, flexibility and universality. The two essays

This thesis uses high-frequency data to estimate the stochastic discount factor. The high-frequency data used is sampled at one-second frequency. The fundamenta

Abstract: A considerable portion of the asset pricing literature considers the demand schedule for asset prices to be perfectly elastic (flat). As argued, asset

This dissertation studies how asset prices are related to various macroeconomic and financial factors. In the first chapter, I examine the influence of external

In this thesis we study two applications of machine learning to estimate models that explains asset prices by harnessing the vast quantity of asset and economic