Testing Monotonicity of Pricing Kernels
Year of publication: |
2007-10-10
|
---|---|
Authors: | Golubev, Yuri ; Härdle, Wolfgang ; Timonfeev, Roman |
Institutions: | Sonderforschungsbereich Ökonomisches Risiko <Berlin> |
Subject: | Risikoverhalten | Unsicherheit |
Extent: | 727040 bytes 28 p. application/pdf |
---|---|
Series: | Diskussionspapier ; 2008-001 |
Type of publication: | Book / Working Paper |
Language: | English |
ISSN: | 1860-5664 |
Classification: | C12 - Hypothesis Testing ; G12 - Asset Pricing ; Corporate finance and investment policy. Other aspects ; Individual Working Papers, Preprints ; Germany. General Resources |
Source: | USB Cologne (business full texts) |
-
Implied Volatility and Risk Aversion in A Simple Model with Uncertain Growth
Lundtofte, Frederik, (2006)
-
Equity incentives, disclosure quality, and stock liquidity risk
Wruck, Karen H., (2017)
-
Limits of Arbitrage and Primary Risk Taking in Derivative Securities
Tian, Meng, (2021)
- More ...
-
Testing Monotonicity of Pricing Kernels
Golubev, Yuri, (2008)
-
Forecasting the Term Structure of Variance Swaps
Detlefsen, Kai,
-
Exploratory Graphics of a Financial Dataset
Unwin, Antony,
- More ...