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Search: subject:"Pricing Kernel"
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Subject
All
CAPM
74
Optionspreistheorie
69
Option pricing theory
66
Pricing kernel
62
pricing kernel
51
Börsenkurs
44
Theorie
40
Risk premium
38
Schätzung
38
Share price
38
Risikoprämie
36
Estimation
35
Risikoaversion
31
Theory
30
Risk aversion
27
Stochastischer Prozess
24
Anlageverhalten
23
Volatility
23
Stochastic process
21
Volatilität
21
Schätztheorie
20
Estimation theory
19
Behavioural finance
18
Capital income
18
Kapitaleinkommen
18
Pricing Kernel
16
Risk
16
Option trading
15
Optionsgeschäft
15
Nichtparametrisches Verfahren
13
Portfolio-Management
12
Prognoseverfahren
12
Risiko
12
Statistical distribution
12
Statistische Verteilung
12
Yield curve
12
Zinsstruktur
12
Black-Scholes model
11
Black-Scholes-Modell
11
Core
11
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Online availability
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Free
100
Undetermined
74
CC license
3
Type of publication
All
Book / Working Paper
107
Article
99
Type of publication (narrower categories)
All
Article in journal
72
Aufsatz in Zeitschrift
72
Working Paper
44
Graue Literatur
28
Non-commercial literature
28
Arbeitspapier
23
Thesis
9
Hochschulschrift
5
Article
4
Collection of articles of several authors
1
Conference paper
1
Konferenzbeitrag
1
Mikroform
1
Sammelwerk
1
research-article
1
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Language
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English
158
Undetermined
46
German
1
Italian
1
Author
All
Härdle, Wolfgang
13
Härdle, Wolfgang Karl
11
Lüders, Erik
9
Barone-Adesi, Giovanni
7
Korinek, Anton
7
Sala, Carlo
7
Franke, Günter
6
Grith, Maria
5
Audrino, Francesco
4
Backus, David
4
Beare, Brendan K.
4
Belomestny, Denis
4
Escanciano, Juan Carlos
4
Hoderlein, Stefan
4
Krätschmer, Volker
4
Lewbel, Arthur
4
Linton, Oliver
4
Marzo, Massimiliano
4
Mele, Antonio
4
Peisl, Bernhard
4
Srisuma, Sorawoot
4
Timofeev, Roman
4
Wang, Weining
4
Wu, Shu
4
Zagaglia, Paolo
4
Cappiello, Lorenzo
3
Derviz, Alexis
3
Detlefsen, Kai
3
Dierkes, Maik
3
Düring, Bertram
3
Golubev, Yuri
3
Heston, Steven L.
3
Huitema, Robert
3
Jacobs, Kris
3
Kenc, Turalay
3
Krupski, Jan
3
Ludwig, Markus
3
Ma, Shujie
3
Macrina, Andrea
3
Okhrin, Yarema
3
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Institution
All
Sonderforschungsbereich 649: Ökonomisches Risiko, Wirtschaftswissenschaftliche Fakultät
9
C.E.P.R. Discussion Papers
3
Department of Economics, University of Kansas
2
EconWPA
2
Econometric Society
2
European Central Bank
2
Oesterreichische Nationalbank
2
School of Economics and Political Science, Universität St. Gallen
2
Society for Computational Economics - SCE
2
Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München
2
Zentrum für Europäische Wirtschaftsforschung (ZEW)
2
Zentrum für Finanzen und Ökonometrie, Fachbereich Wirtschaftswissenschaften
2
Department of Economics and Finance Research and Teaching, Institut für Höhere Studien (IHS)
1
Department of Economics, University of California-San Diego (UCSD)
1
Dipartimento di Informatica e Studi Aziendali, Università degli Studi di Trento
1
Federal Reserve Board (Board of Governors of the Federal Reserve System)
1
Graduate School of Economics, Osaka University
1
HEC Paris (École des Hautes Études Commerciales)
1
London School of Economics (LSE)
1
MASTER CONSULTORES
1
Networks Financial Institute, Scott College of Business
1
Rimini Centre for Economic Analysis (RCEA)
1
Royal Economic Society - RES
1
School of Economics and Finance, Queen Mary
1
University of Bonn, Germany
1
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Published in...
All
SFB 649 Discussion Papers
9
SFB 649 Discussion Paper
8
Research paper series / Swiss Finance Institute
7
Review of Derivatives Research
6
CoFE Discussion Paper
5
Journal of financial economics
5
Journal of banking & finance
4
Working Paper
4
ZEW Discussion Papers
4
CEPR Discussion Papers
3
International journal of theoretical and applied finance
3
Journal of financial econometrics : official journal of the Society for Financial Econometrics
3
Quantitative finance
3
Swiss Finance Institute Research Paper Series
3
Applied economics
2
Cambridge working papers in economics
2
Cambridge-INET working papers
2
CoFE discussion papers
2
ECB Working Paper
2
Economics Working Paper Series / School of Economics and Political Science, Universität St. Gallen
2
International Journal of Theoretical and Applied Finance (IJTAF)
2
Journal of econometrics
2
Journal of economic dynamics & control
2
Journal of financial econometrics
2
MPRA Paper
2
Management science : journal of the Institute for Operations Research and the Management Sciences
2
Mathematical finance : an international journal of mathematics, statistics and financial economics
2
Quaderni - working paper DSE / Alma Mater Studiorum - Università di Bologna, Department of Economics
2
Review of derivatives research
2
Review of quantitative finance and accounting
2
Risks : open access journal
2
The European journal of finance
2
WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS
2
Working Paper Series / European Central Bank
2
Working Papers / Oesterreichische Nationalbank
2
AStA Advances in Statistical Analysis
1
Annals of Finance
1
Annals of finance
1
Applied Mathematical Finance
1
Applied economics letters
1
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Source
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ECONIS (ZBW)
103
RePEc
69
EconStor
25
BASE
7
Other ZBW resources
2
Showing
41
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50
of
206
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41
Joint estimation of volatility risk and tail risk premia with time-varying macro-state-dependent property
Chen, Sonnan
;
Gu, Yuchi
- In:
Review of quantitative finance and accounting
56
(
2021
)
4
,
pp. 1357-1397
Persistent link: https://www.econbiz.de/10012549807
Saved in:
42
Explaining S&P500 option returns : an implied risk-adjusted approach
Volkmann, David
- In:
Central European journal of operations research
29
(
2021
)
2
,
pp. 665-685
Persistent link: https://www.econbiz.de/10012543002
Saved in:
43
Bitcoin option pricing with a SETAR-GARCH model
Siu, Tak Kuen
;
Elliott, Robert J.
- In:
The European journal of finance
27
(
2021
)
6
,
pp. 564-595
Persistent link: https://www.econbiz.de/10012484403
Saved in:
44
Option Valuation with Volatility Components, Fat Tails, and Non-Monotonic Pricing Kernels
Babaoglu, Kadir
-
2017
We nest multiple volatility components, fat tails and a U-shaped
pricing
kernel
in a single option model and compare … improvements. A U-shaped
pricing
kernel
is economically most important and improves option fit by 17% on average and more so for … just over 4% on average, but more so when a U-shaped
pricing
kernel
is applied. Overall these three model features are …
Persistent link: https://www.econbiz.de/10012970627
Saved in:
45
Essays in asset pricing
Orlowski, Piotr
-
2017
Persistent link: https://www.econbiz.de/10011931494
Saved in:
46
A Bayesian estimate of the
Pricing
Kernel
Barone-Adesi, Giovanni
;
Legnazzi, Chiara
;
Mira, Antonietta
-
2016
The article presents a Bayesian nonparametric approach to model the
Pricing
Kernel
(PK), defined as the present value …
Persistent link: https://www.econbiz.de/10011515905
Saved in:
47
Which factors are risk factors in asset pricing? : a model scan framework
Chib, Siddhartha
;
Zeng, Xiaming
- In:
Journal of business & economic statistics : JBES ; a …
38
(
2020
)
4
,
pp. 771-783
Persistent link: https://www.econbiz.de/10012313369
Saved in:
48
A note on Stein's overreaction puzzle
Lin, Yuehao
;
Lehnert, Thorsten
- In:
Decisions in economics and finance : a journal of …
43
(
2020
)
1
,
pp. 269-276
Persistent link: https://www.econbiz.de/10012285399
Saved in:
49
Pseudo-true SDFs in conditional asset pricing models
Antoine, Bertille
;
Proulx, Kevin
;
Renault, Eric
- In:
Journal of financial econometrics
18
(
2020
)
4
,
pp. 656-714
Persistent link: https://www.econbiz.de/10012405513
Saved in:
50
Expectile CAPM
Hu, Wei
;
Zheng, Zhenlong
- In:
Economic modelling
88
(
2020
),
pp. 386-397
Persistent link: https://www.econbiz.de/10012417246
Saved in:
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