Pricing kernel estimation: a local estimating equation approach

DOI10.1017/S0266466614000589MaRDI QIDQ5255875zbMATH OpenOpenAlexFDO

Authors Yu Ren, Linman Sun, Zongwu 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) Nonparametric estimation (62G05) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05)

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Cites work

• Common risk factors in the returns on stocks and bonds
• Econometric specification of stochastic discount factor models
• scientific article; zbMATH DE number 991833 (Why is no real title available?)
• scientific article; zbMATH DE number 1869272 (Why is no real title available?)
• Large Sample Properties of Generalized Method of Moments Estimators
• MIXING AND MOMENT PROPERTIES OF VARIOUS GARCH AND STOCHASTIC VOLATILITY MODELS
• Nonparametric estimation equations for time series data.
• REGRESSION QUANTILES FOR TIME SERIES
• Some Limit Theorems for Random Functions. I
• Weak convergence for weighted empirical processes of dependent sequences

Cited in

(16)

• Empirical reverse engineering of the pricing kernel.
• Generalized aggregation of misspecified models: with an application to asset pricing
• A nonparametric approach to stochastic discount factor estimation
• Econometric specification of stochastic discount factor models
• Efficient semiparametric estimation of the Fama-French model and extensions
• Historical simulation approach to the estimation of stochastic discount factor models
• The shape of small sample biases in pricing kernel estimations
• NONPARAMETRIC EULER EQUATION IDENTIFICATION AND ESTIMATION
• Second order expansions of estimators in nonparametric moment conditions models with weakly dependent data
• Assessing misspecified asset pricing models with empirical likelihood estimators
• Semi-parametric estimation of American option prices
• Nonparametric multidimensional fixed effects panel data models
• Local polynomial estimation of nonparametric general estimating equations
• Nonparametric Specification Testing of Conditional Asset Pricing Models
• Estimation of non-smooth non-parametric estimating equations models with dependent data
• Panel data models with cross-sectional dependence: a selective review

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