Winkel, Julian; Härdle, Wolfgang - In: Risks : open access journal 11 (2023) 5, pp. 1-18
. The PKs, as the ratio between risk-neutral and physical density, dynamically reflect the change in investor preferences …. Thus, the PKs improve the understanding of investor expectations and risk premiums in a new asset class. Bootstrap …-based confidence bands are estimated in order to validate the results. Investors are heterogeneous in their risk profiles and …