Empirical reverse engineering of the pricing kernel.
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Cites work
- scientific article; zbMATH DE number 1211744 (Why is no real title available?)
- scientific article; zbMATH DE number 939851 (Why is no real title available?)
- A closed-form solution for options with stochastic volatility with applications to bond and currency options
- Alternative models for stock price dynamics.
- Covariance Matrix Estimation and the Power of the Overidentifying Restrictions Test
- Estimation of affine asset pricing models using the empirical characteristic function
- Generalized Instrumental Variables Estimation of Nonlinear Rational Expectations Models
- Large Sample Properties of Generalized Method of Moments Estimators
- Martingales and stochastic integrals in the theory of continuous trading
- Reprojecting Partially Observed Systems with Application to Interest Rate Diffusions
- Seminonparametric Estimation of Conditionally Constrained Heterogeneous Processes: Asset Pricing Applications
- Simulated Moments Estimation of Markov Models of Asset Prices
- Spectral GMM estimation of continuous-time processes
- The pricing of options and corporate liabilities
- Transform Analysis and Asset Pricing for Affine Jump-diffusions
Cited in
(25)- The pricing kernel puzzle in forward looking data
- Correlation and the pricing of risks
- Option market trading activity and the estimation of the pricing kernel: a Bayesian approach
- Linear approximations and tests of conditional pricing models
- Inferring the Forward Looking Equity Risk Premium from Derivative Prices
- Cost minimization and the stochastic discount factor
- Pricing kernels, market utility functions and investor preferences
- ESTIMATION OF EXCESS RETURNS FROM DERIVATIVE PRICES AND TESTING FOR RISK NEUTRAL PRICING
- Testing monotonicity of pricing kernels
- Reference-dependent preferences and the empirical pricing kernel puzzle
- On the determination of general scientific models with application to asset pricing
- On the market price of risk
- A dynamic equilibrium model for U-shaped pricing kernels
- The pricing kernel puzzle: survey and outlook
- Sentiment lost: the effect of projecting the pricing kernel onto a smaller filtration set
- Using Asset Prices to Measure the Persistence of the Marginal Utility of Wealth
- Three solutions to the pricing kernel puzzle
- Empirical option pricing: A retrospection
- IMPLIED KERNEL MODELS
- Equilibrium asset pricing: with non-Gaussian factors and exponential utilities
- The shape of small sample biases in pricing kernel estimations
- Saddlepoint approximations for affine jump-diffusion models
- A tale of two option markets: pricing kernels and volatility risk
- Pricing kernel estimation: a local estimating equation approach
- Option pricing with conditional GARCH models
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