Pricing kernel monotonicity and term structure : evidence from China
Yuhan Jiao, Qiang Liu, Shuxin Guo
| Year of publication: |
2021
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|---|---|
| Authors: | Jiao, Yuhan ; Liu, Qiang ; Guo, Shuxin |
| Published in: |
Journal of banking & finance. - Amsterdam [u.a.] : Elsevier, ISSN 0378-4266, ZDB-ID 752905-3. - Vol. 123.2021, p. 1-13
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| Subject: | Pricing kernel monotonicity | Pricing kernel term structure | Options on the China 50 ETF | Conditional density integration | Standardized pricing kernel estimation | China | Optionspreistheorie | Option pricing theory | Zinsstruktur | Yield curve | Optionsgeschäft | Option trading | ARCH-Modell | ARCH model | CAPM | Börsenkurs | Share price |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.jbankfin.2020.106037 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012662415