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Search: subject:"empirical pricing kernel"
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Empirical Pricing Kernel
9
Anlageverhalten
7
empirical pricing kernel
7
Behavioural finance
5
Optionspreistheorie
5
Risikoaversion
5
Risk aversion
5
Schätzung
5
Capital income
4
Deutschland
4
Estimation
4
Kapitaleinkommen
4
Nichtparametrisches Verfahren
4
Nonparametric Fitting
4
Option pricing theory
4
Black-Scholes model
3
Black-Scholes-Modell
3
Bootstrap
3
Confidence band
3
Empirical pricing kernel
3
Kernel
3
Kernel Density Estimation
3
Kernel Smoothing
3
Pricing kernel
3
Schätztheorie
3
Theorie
3
CAPM
2
DAX
2
EPK puzzle
2
Estimation theory
2
Exponential mixture
2
Germany
2
Inverse problem
2
Kullback-Leibler Divergence
2
Market utility function
2
Mixture distribution
2
Nonparametric
2
Nonparametric statistics
2
Wirtschaft
2
aggregate agent
2
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Online availability
All
Free
14
Undetermined
2
Type of publication
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Book / Working Paper
17
Article
2
Type of publication (narrower categories)
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Working Paper
7
Graue Literatur
3
Non-commercial literature
3
Thesis
3
Arbeitspapier
2
Article in journal
2
Aufsatz in Zeitschrift
2
Hochschulschrift
1
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Language
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English
15
Undetermined
4
Author
All
Härdle, Wolfgang Karl
7
Härdle, Wolfgang
6
Krätschmer, Volker
4
Wang, Weining
4
Belomestny, Denis
3
Ma, Shujie
3
Okhrin, Yarema
3
Grith, Maria
2
Audrino, Francesco
1
Barone-Adesi, Giovanni
1
Cadogan, Godfrey
1
Cont, Rama
1
Detlefsen, Kai
1
Karl Härdle, Wolfgang
1
Kyriacou, Maria
1
Meier, Pirmin
1
Moro, Rouslan
1
Moro, Rouslan A.
1
Okhrin, Ostap
1
Olmo, Jose
1
Ritov, Ya'acov
1
Sala, Carlo
1
Strittmatter, Marius
1
Timofeev, Roman
1
Ya'acov Ritov
1
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Institution
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Sonderforschungsbereich 649: Ökonomisches Risiko, Wirtschaftswissenschaftliche Fakultät
5
School of Economics and Political Science, Universität St. Gallen
1
Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München
1
Published in...
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SFB 649 Discussion Paper
5
SFB 649 Discussion Papers
5
Economics Working Paper Series / School of Economics and Political Science, Universität St. Gallen
1
Journal of financial econometrics : official journal of the Society for Financial Econometrics
1
Journal of mathematical finance
1
MPRA Paper
1
Research paper series / Swiss Finance Institute
1
SFB 649 discussion paper
1
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Source
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RePEc
7
ECONIS (ZBW)
5
EconStor
5
BASE
2
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1
Pricing Kernel Modeling
Belomestny, Denis
;
Ma, Shujie
;
Härdle, Wolfgang Karl
-
Sonderforschungsbereich 649: Ökonomisches Risiko, …
-
2015
We propose a new method to estimate the
empirical
pricing
kernel
based on option data. We estimate the pricing kernel …
Persistent link: https://www.econbiz.de/10011115466
Saved in:
2
Pricing kernel modeling
Belomestny, Denis
;
Ma, Shujie
;
Härdle, Wolfgang
-
2015
We propose a new method to estimate the
empirical
pricing
kernel
based on option data. We estimate the pricing kernel …
Persistent link: https://www.econbiz.de/10010462645
Saved in:
3
Uncovering the distribution of option implied risk aversion
Kyriacou, Maria
;
Olmo, Jose
;
Strittmatter, Marius
- In:
Journal of mathematical finance
9
(
2019
)
2
,
pp. 81-104
Persistent link: https://www.econbiz.de/10012116675
Saved in:
4
Pricing kernel modeling
Belomestny, Denis
;
Ma, Shujie
;
Härdle, Wolfgang Karl
-
2014
We propose a new method to estimate the
empirical
pricing
kernel
based on option data. We estimate the pricing kernel …
Persistent link: https://www.econbiz.de/10010491441
Saved in:
5
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
Saved in:
6
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
Saved in:
7
Uniform Confidence Band for Pricing Kernels
Wang, Weining
-
2010
with nonparametric estimation of the pricing kernel (
Empirical
Pricing
Kernel
) given by the ratio of the risk …
Persistent link: https://www.econbiz.de/10009467187
Saved in:
8
Uniform confidence bands for pricing kernels
Härdle, Wolfgang Karl
;
Okhrin, Yarema
;
Wang, Weining
-
2010
with nonparametric estimation of the pricing kernel (
Empirical
Pricing
Kernel
) given by the ratio of the risk …
Persistent link: https://www.econbiz.de/10010270732
Saved in:
9
Uniform confidence bands for pricing kernels
Härdle, Wolfgang Karl
;
Okhrin, Yarema
;
Wang, Weining
-
Sonderforschungsbereich 649: Ökonomisches Risiko, …
-
2010
with nonparametric estimation of the pricing kernel (
Empirical
Pricing
Kernel
) given by the ratio of the risk …
Persistent link: https://www.econbiz.de/10008476278
Saved in:
10
Canonical Representation Of Option Prices and Greeks with Implications for Market Timing
Cadogan, Godfrey
-
Volkswirtschaftliche Fakultät, …
-
2010
empirical
pricing
kernel
for call option based on residuals from a model of risk exposure to persistent and transient risk …
Persistent link: https://www.econbiz.de/10008564515
Saved in:
1
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