models based on prices of European options. This is done by showing joint asymptotic normality for the estimation of the …

with nonparametric estimation of the pricing kernel (Empirical Pricing Kernel) given by the ratio of the risk … estimated nonparametrically too. In this framework, we develop the asymptotic distribution theory of the EPK in the L1 sense …, as an alternative to the asymptotic approach, we propose a bootstrap confidence band. The developed theory is helpful for …

genuinely conditional and generalize well beyond available data, all the while respecting theory-imposed shape constraints. We …

This paper studies the nonparametric identification and estimation of projected pricing kernels implicit in European … computing ratios of estimated risk-neutral and physical densities. Instead, we consider efficient estimation based on the …

characterized by the k-function, which is typically nonsmooth at zero. On the one hand the estimation of the drift, the activity … estimators adapting to this unknown parameter. Our estimation method is based on spectral representations of the observed option …

the implementation of the spectral estimation procedures for Lévy models of finite jump activity as well as for self …