The shape of small sample biases in pricing kernel estimations

DOI10.1080/14697688.2016.1258486MaRDI QIDQ4555119zbMATH OpenOpenAlexFDO

Authors Dietmar P. J. Leisen

Publication date 19 November 2018

Published in Quantitative Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/14697688.2016.1258486

zbMATH Keywords

implied volatilitykernel density estimationpricing kernel puzzlesmall sample bias

Mathematics Subject Classification ID

Density estimation (62G07) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05)

Recommendations

• Empirical reverse engineering of the pricing kernel.
• Pricing kernel estimation: a local estimating equation approach
• Three solutions to the pricing kernel puzzle
• The pricing kernel puzzle in forward looking data
• SIEVE ESTIMATION OF THE MINIMAL ENTROPY MARTINGALE MARGINAL DENSITY WITH APPLICATION TO PRICING KERNEL ESTIMATION

Cites work

• Estimation for Markowitz Efficient Portfolios
• Generalized autoregressive conditional heteroscedasticity
• scientific article; zbMATH DE number 991833 (Why is no real title available?)
• scientific article; zbMATH DE number 48302 (Why is no real title available?)
• scientific article; zbMATH DE number 4001209 (Why is no real title available?)
• Nonparametric and semiparametric models.
• Nonparametric risk management and implied risk aversion
• On extracting information implied in options
• Testing monotonicity of pricing kernels
• Three solutions to the pricing kernel puzzle

Cited in

(4)

• Testing monotonicity of pricing kernels
• The pricing kernel puzzle: survey and outlook
• Sentiment lost: the effect of projecting the pricing kernel onto a smaller filtration set
• Estimating time-varying risk aversion from option prices and realized returns

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