Testing monotonicity of pricing kernels
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- Horatio Cuesdeanu & Jens Carsten Jackwerth, 2018. "The pricing kernel puzzle in forward looking data," Review of Derivatives Research, Springer, vol. 21(3), pages 253-276, October.
- Denis Belomestny & Wolfgang Karl Härdle & Ekaterina Krymova, 2017. "Sieve Estimation Of The Minimal Entropy Martingale Marginal Density With Application To Pricing Kernel Estimation," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 20(06), pages 1-21, September.
- Denis Belomestny & Shujie Ma & Wolfgang Karl HÃ¤rdle, 2015. "Pricing Kernel Modeling," SFB 649 Discussion Papers SFB649DP2015-001, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
- Horatio Cuesdeanu & Jens Carsten Jackwerth, 2018. "The pricing kernel puzzle: survey and outlook," Annals of Finance, Springer, vol. 14(3), pages 289-329, August.
- Xinyu WU & Senchun REN & Hailin ZHOU, 2017. "Empirical Pricing Kernels: Evidence from the Hong Kong Stock Market," ECONOMIC COMPUTATION AND ECONOMIC CYBERNETICS STUDIES AND RESEARCH, Faculty of Economic Cybernetics, Statistics and Informatics, vol. 51(4), pages 263-278.
More about this item
KeywordsMonotonicity; Pricing kernel; Risk aversion; C12; G12;
- C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
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