Testing monotonicity of pricing kernels

DOI10.1007/s10182-014-0225-5zbMath1443.62350OpenAlexW2132654322MaRDI QIDQ1621677

Roman Timofeev, Yuri K. Golubev, Wolfgang Karl Härdle

Publication date: 9 November 2018

Published in: AStA. Advances in Statistical Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10182-014-0225-5

zbMATH Keywords

monotonicityrisk aversionpricing kernel

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05)

Related Items (6)

Option augmented density forecasts of market returns with monotone pricing kernel ⋮ The shape of small sample biases in pricing kernel estimations ⋮ The pricing kernel puzzle: survey and outlook ⋮ SIEVE ESTIMATION OF THE MINIMAL ENTROPY MARTINGALE MARGINAL DENSITY WITH APPLICATION TO PRICING KERNEL ESTIMATION ⋮ The pricing kernel puzzle in forward looking data ⋮ Sentiment lost: the effect of projecting the pricing kernel onto a smaller filtration set

Cites Work

• The Pricing of Options and Corporate Liabilities
• Risk hull method and regularization by projections of ill-posed inverse problems
• Nonparametric risk management and implied risk aversion
• A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
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