PRICING KERNEL ESTIMATION: A LOCAL ESTIMATING EQUATION APPROACH

DOI10.1017/S0266466614000589zbMath1441.62259OpenAlexW2107493429MaRDI QIDQ5255875

Linman Sun, Yu Ren, Zong-Wu Cai

Publication date: 22 June 2015

Published in: Econometric Theory (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1017/s0266466614000589

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Nonparametric estimation (62G05)

Related Items (6)

Generalized aggregation of misspecified models: with an application to asset pricing ⋮ Second order expansions of estimators in nonparametric moment conditions models with weakly dependent data ⋮ Local polynomial estimation of nonparametric general estimating equations ⋮ Panel data models with cross-sectional dependence: a selective review ⋮ NONPARAMETRIC EULER EQUATION IDENTIFICATION AND ESTIMATION ⋮ Nonparametric multidimensional fixed effects panel data models

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• Common risk factors in the returns on stocks and bonds

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