Testing monotonicity of pricing kernels

DOI10.1007/S10182-014-0225-5MaRDI QIDQ1621677zbMATH OpenOpenAlexFDO

Authors Roman Timofeev, Yu. Golubev, Wolfgang K. Härdle

Publication date 9 November 2018

Published in AStA. Advances in Statistical Analysis (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s10182-014-0225-5

zbMATH Keywords

monotonicitypricing kernelrisk aversion

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05)

Recommendations

• Pricing kernels, market utility functions and investor preferences
• Empirical reverse engineering of the pricing kernel.
• The shape of small sample biases in pricing kernel estimations
• Three solutions to the pricing kernel puzzle
• The pricing kernel puzzle in forward looking data

Cites work

• A closed-form solution for options with stochastic volatility with applications to bond and currency options
• scientific article; zbMATH DE number 1095739 (Why is no real title available?)
• scientific article; zbMATH DE number 3233336 (Why is no real title available?)
• scientific article; zbMATH DE number 3106184 (Why is no real title available?)
• Nonparametric risk management and implied risk aversion
• Risk hull method and regularization by projections of ill-posed inverse problems
• The pricing of options and corporate liabilities

Cited in

(9)

• Empirical reverse engineering of the pricing kernel.
• The pricing kernel puzzle: survey and outlook
• The pricing kernel puzzle in forward looking data
• Sentiment lost: the effect of projecting the pricing kernel onto a smaller filtration set
• Option augmented density forecasts of market returns with monotone pricing kernel
• The shape of small sample biases in pricing kernel estimations
• SIEVE ESTIMATION OF THE MINIMAL ENTROPY MARTINGALE MARGINAL DENSITY WITH APPLICATION TO PRICING KERNEL ESTIMATION
• Pricing kernels, market utility functions and investor preferences
• Volatility-dependent probability weighting and the dynamics of the pricing kernel puzzle

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