Option augmented density forecasts of market returns with monotone pricing kernel (Q4554445): Difference between revisions

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+Nonparametric risk management and implied risk aversion
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+Designing Realized Kernels to Measure the ex post Variation of Equity Prices in the Presence of Noise
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+Measure preserving derivatives and the pricing kernel puzzle
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+NONPARAMETRIC TESTS OF DENSITY RATIO ORDERING
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+Generalized autoregressive conditional heteroscedasticity
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+Estimation of risk-neutral densities using positive convolution approximation
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+Nonparametric tests for and against likelihood ratio ordering in the two-sample problem
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+Quantile and Probability Curves Without Crossing
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+On the distance between the empirical process and its concave majorant in a monotone regression framework. (Sur la distance entre le processus empirique et son majorant concave dans un modèle de régression monotone)
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+Maximum penalized likelihood estimation. Vol. 1: Density estimation
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+Probabilistic Forecasts, Calibration and Sharpness
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+Testing monotonicity of pricing kernels
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+Three Solutions to the Pricing Kernel Puzzle*
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+Q4272483
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+A tale of two option markets: pricing kernels and volatility risk
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