Is the Price Kernel Monotone?
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CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Beare, Brendan K., 2011. "Measure preserving derivatives and the pricing kernel puzzle," Journal of Mathematical Economics, Elsevier, vol. 47(6), pages 689-697.
- Brendan K. Beare & Lawrence D. W. Schmidt, 2016.
"An Empirical Test of Pricing Kernel Monotonicity,"
Journal of Applied Econometrics,
John Wiley & Sons, Ltd., vol. 31(2), pages 338-356, March.
- Beare, Brendan K. & Schmidt, Lawrence, 2011. "An Empirical Test of Pricing Kernel Monotonicity," University of California at San Diego, Economics Working Paper Series qt5572n8pc, Department of Economics, UC San Diego.
More about this item
KeywordsPricing kernel; State price density per unit probability; Risk neutral; Historical distribution;
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
- G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
- G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
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