Consistent Estimation of Pricing Kernels from Noisy Price Data

If pricing kernels are assumed non-negative then the inverse problem of finding the pricing kernel is well-posed. The constrained least squares method provides a consistent estimate of the pricing kernel. When the data are limited, a new method is suggested: relaxed maximization of the relative entropy. This estimator is also consistent.

MoreLess

Year of publication:	2003-11-03
Authors:	Kargin, Vladislav
Institutions:	EconWPA
Subject:	epsilon-entropy \| non-parametric estimation \| pricing kernel \| inverse problems

More details

Extent:	application/pdf
Series:	Finance.
Type of publication:	Book / Working Paper
Notes:	Type of Document - pdf; prepared on Win2000; pages: 13 13 pages
Classification:	G12 - Asset Pricing ; G13 - Contingent Pricing; Futures Pricing ; C14 - Semiparametric and Nonparametric Methods
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005134867