Option augmented density forecasts of market returns with monotone pricing kernel

DOI10.1080/14697688.2017.1383626zbMATH Open1406.62111OpenAlexW2770846117MaRDI QIDQ4554445FDOQ4554445

Authors: Brendan K. Beare, Asad Dossani 

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

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zbMATH Keywords

density forecastspricing kernel puzzlemonotone density ratio

Mathematics Subject Classification ID

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

Cites Work

• Generalized autoregressive conditional heteroscedasticity
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• Quantile and probability curves without crossing
• Designing Realized Kernels to Measure the ex post Variation of Equity Prices in the Presence of Noise
• NONPARAMETRIC TESTS OF DENSITY RATIO ORDERING
• Nonparametric risk management and implied risk aversion
• Estimation of risk-neutral densities using positive convolution approximation
• Maximum penalized likelihood estimation. Vol. 1: Density estimation
• Three Solutions to the Pricing Kernel Puzzle*
• Measure preserving derivatives and the pricing kernel puzzle
• A tale of two option markets: pricing kernels and volatility risk
• 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)
• Nonparametric tests for and against likelihood ratio ordering in the two-sample problem
• Testing monotonicity of pricing kernels

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