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  • Search: subject:"Pricing Kernel"
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Year of publication
Subject
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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
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Book / Working Paper 107 Article 99
Type of publication (narrower categories)
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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
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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
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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 1 - 10 of 206
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The pricing kernel under proportional ambiguity
Spengemann, Marco - 2025
The pricing kernel is an important tool for understanding asset prices, expected returns, and investor preferences …. However, empirical findings often reveal deviations from theoretical predictions, leading to the so-called "pricing kernel … puzzle". This article explores the pricing kernel under Knightian uncertainty driven by identifiable business cycles. In a …
Persistent link: https://www.econbiz.de/10015325514
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Cover Image
The pricing kernel under proportional ambiguity
Spengemann, Marco - 2025
The pricing kernel is an important tool for understanding asset prices, expected returns, and investor preferences …. However, empirical findings often reveal deviations from theoretical predictions, leading to the so-called "pricing kernel … puzzle". This article explores the pricing kernel under Knightian uncertainty driven by identifiable business cycles. In a …
Persistent link: https://www.econbiz.de/10015192948
Saved in:
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Long-term risk with stochastic interest rates
Severino, Federico - 2025
Persistent link: https://www.econbiz.de/10015358988
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An information-theoretic asset pricing model
Ghosh, Anisha; Julliard, Christian; Taylor, Alex P. - 2025
Persistent link: https://www.econbiz.de/10015339156
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Subjective probability distributions of nonlinear payoffs : Recovering option payoff, agent’s utility, and pricing kernel distributions
Yamazaki, Akira - 2025
Persistent link: https://www.econbiz.de/10015372650
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Persistent and transient variance components in option pricing models with variance-dependent Kernel
Ghanbari, Hamed - In: Journal of empirical finance 79 (2024), pp. 1-32
Persistent link: https://www.econbiz.de/10015179565
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Volatility-dependent probability weighting and the dynamics of the pricing kernel puzzle
Dierkes, Maik; Krupski, Jan; Schroen, Sebastian; … - In: Review of derivatives research 27 (2024) 1, pp. 1-35
Persistent link: https://www.econbiz.de/10015133906
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Sharing model uncertainty
Hara, Chiaki; Mukerji, Sujoy; Riedel, Frank; Tallon, … - 2024
Persistent link: https://www.econbiz.de/10014537225
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Econometric identification of the attainable maximal sharpe ratio by optimal shrinkage of the cross-section of asset returns
Chen, Yuting; Potì, Valerio - In: Economics letters 235 (2024), pp. 1-4
Persistent link: https://www.econbiz.de/10015071365
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The market cost of business cycle fluctuations
Ghosh, Anisha; Julliard, Christian; Stutzer, Michael J. - 2024
Persistent link: https://www.econbiz.de/10014451870
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