Search Results - subject:"Pricing Kernel"

Testing market efficiency with the pricing kernel

Barone-Adesi, Giovanni; Sala, Carlo - 2019

Market efficiency and the pricing kernel are closely related. A non-monotonic decreasing pricing kernel implies the … the pricing measures of the pricing kernel are estimated using differing filtration sets. We show this effect both … pricing kernel, potentially leading to better tests of market efficiency …

Persistent link: https://www.econbiz.de/10012179592

Dark matter in (volatility and) equity option risk premiums

Bakshi, Gurdip S.; Crosby, John; Gao, Xiaohui - In: Operations research 70 (2022) 6, pp. 3108-3124

Persistent link: https://www.econbiz.de/10014307635

On non-negative equity guarantee calculations with macroeconomic variables related to house prices

Badescu, Alexandru; Quaye, Enoch; Tunaru, Radu - In: Insurance / Mathematics & economics 103 (2022), pp. 119-138

Persistent link: https://www.econbiz.de/10013198331

Consistent valuation across curves using pricing kernels

Macrina, Andrea; Mahomed, Obeid - In: Risks 6 (2018) 1, pp. 1-39

is considered. A pricing kernel framework is used to model an economy that is segmented into distinct markets, each … and rational pricing kernel models are recovered, reviewed and generalised and single-curve models extended. In another …

Persistent link: https://www.econbiz.de/10011996576

Consistent valuation across curves using pricing kernels

Macrina, Andrea; Mahomed, Obeid - In: Risks : open access journal 6 (2018) 1, pp. 1-39

Persistent link: https://www.econbiz.de/10011811563

Reference Dependent Preferences and the EPK Puzzle

Grith, Maria; Härdle, Wolfgang Karl; Krätschmer, Volker - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2013

Supported by several recent investigations, the empirical pricing kernel (EPK) puzzle might be considered a stylized …

Persistent link: https://www.econbiz.de/10010643580

Reference dependent preferences and the EPK puzzle

Grith, Maria; Karl Härdle, Wolfgang; Krätschmer, Volker - 2013

Supported by several recent investigations, the empirical pricing kernel (EPK) puzzle might be considered a stylized …

Persistent link: https://www.econbiz.de/10010321478

An empirical implementation of the Ross recovery theorem as a prediction device

Audrino, Francesco; Huitema, Robert; Ludwig, Markus - In: Journal of financial econometrics 19 (2021) 2, pp. 291-312

Persistent link: https://www.econbiz.de/10012620054

Information content of the risk-free rate for the pricing kernel bound

Nozari, Milad - In: The journal of asset management : a major new, … 22 (2021) 4, pp. 267-276

Persistent link: https://www.econbiz.de/10012581625

Index option returns and generalized entropy bounds

Liu, Yan - In: Journal of financial economics 139 (2021) 3, pp. 1015-1036

Persistent link: https://www.econbiz.de/10012693881

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