Shape invariant modelling pricing kernels and risk aversion
Year of publication: |
2009
|
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Authors: | Grith, Maria ; Härdle, Wolfgang Karl ; Park, Juhyun |
Publisher: |
Berlin : Humboldt University of Berlin, Collaborative Research Center 649 - Economic Risk |
Subject: | Börsenkurs | Core | Index-Futures | Anlageverhalten | Risikoaversion | Theorie | Europa | Pricing kernels | risk aversion | risk neutral density |
Series: | SFB 649 Discussion Paper ; 2009-041 |
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Type of publication: | Book / Working Paper |
Type of publication (narrower categories): | Working Paper |
Language: | English |
Other identifiers: | 607930683 [GVK] hdl:10419/39277 [Handle] RePEc:zbw:sfb649:sfb649dp2009-041 [RePEc] |
Classification: | C14 - Semiparametric and Nonparametric Methods ; C32 - Time-Series Models ; G12 - Asset Pricing |
Source: |
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