Option augmented density forecasts of market returns with monotone pricing kernel

DOI10.1080/14697688.2017.1383626zbMath1406.62111OpenAlexW2770846117MaRDI QIDQ4554445

Asad Dossani, Brendan K. Beare

Publication date: 14 November 2018

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/14697688.2017.1383626

zbMATH Keywords

density forecastspricing kernel puzzlemonotone density ratio

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Density estimation (62G07) Applications of statistics to actuarial sciences and financial mathematics (62P05)

Cites Work

• Unnamed Item
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• Designing Realized Kernels to Measure the ex post Variation of Equity Prices in the Presence of Noise
• Quantile and Probability Curves Without Crossing
• Three Solutions to the Pricing Kernel Puzzle*
• NONPARAMETRIC TESTS OF DENSITY RATIO ORDERING
• Nonparametric tests for and against likelihood ratio ordering in the two-sample problem
• Probabilistic Forecasts, Calibration and Sharpness
• Maximum penalized likelihood estimation. Vol. 1: Density estimation

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