The pricing kernel puzzle: survey and outlook
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Publication:1669867
DOI10.1007/s10436-017-0317-9zbMath1398.91576OpenAlexW3123158993MaRDI QIDQ1669867
Horatio Cuesdeanu, Jens Carsten Jackwerth
Publication date: 4 September 2018
Published in: Annals of Finance (Search for Journal in Brave)
Full work available at URL: http://nbn-resolving.de/urn:nbn:de:bsz:352-2-zjiaa35xt307
Statistical methods; risk measures (91G70) Derivative securities (option pricing, hedging, etc.) (91G20)
Related Items (4)
The pricing kernel puzzle: survey and outlook ⋮ Option market trading activity and the estimation of the pricing kernel: a Bayesian approach ⋮ Estimating time-varying risk aversion from option prices and realized returns ⋮ The pricing kernel puzzle in forward looking data
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