Option augmented density forecasts of market returns with monotone pricing kernel

DOI10.1080/14697688.2017.1383626MaRDI QIDQ4554445zbMATH OpenOpenAlexFDO

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

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)

Recommendations

• Testing the martingale restriction for option implied densities
• Option market trading activity and the estimation of the pricing kernel: a Bayesian approach
• Do option markets correctly price the probabilities of movement of the underlying asset?
• Nonparametric option pricing under shape restrictions
• Density Forecasting with Time‐Varying Higher Moments: A Model Confidence Set Approach

Cites work

• scientific article; zbMATH DE number 469135 (Why is no real title available?)
• A tale of two option markets: pricing kernels and volatility risk
• Designing Realized Kernels to Measure the ex post Variation of Equity Prices in the Presence of Noise
• Estimation of risk-neutral densities using positive convolution approximation
• Generalized autoregressive conditional heteroscedasticity
• Maximum penalized likelihood estimation. Vol. 1: Density estimation
• Measure preserving derivatives and the pricing kernel puzzle
• Nonparametric risk management and implied risk aversion
• Nonparametric tests for and against likelihood ratio ordering in the two-sample problem
• Nonparametric tests of density ratio ordering
• 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)
• Probabilistic Forecasts, Calibration and Sharpness
• Quantile and probability curves without crossing
• Testing monotonicity of pricing kernels
• Three solutions to the pricing kernel puzzle

Cited in

(1)

• Financial density forecasts: a comprehensive comparison of risk-neutral and historical schemes

This page was built for publication: Option augmented density forecasts of market returns with monotone pricing kernel

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4554445)