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  • Search: subject:"pricing kernel"
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Year of publication
Subject
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pricing kernel 29 CAPM 26 Pricing kernel 24 Optionspreistheorie 22 Theorie 20 Option pricing theory 19 Börsenkurs 16 Risikoaversion 16 Anlageverhalten 14 Schätzung 14 Risk premium 12 Estimation 11 Risikoprämie 11 Risk aversion 11 Volatility 11 Share price 10 Theory 10 Volatilität 10 Behavioural finance 9 Pricing Kernel 9 Stochastischer Prozess 9 Nichtparametrisches Verfahren 8 Schätztheorie 8 Estimation theory 7 Portfolio-Management 7 Risk 7 Core 6 Empirical Pricing Kernel 6 Portfolio selection 6 Risikopräferenz 6 Stochastic process 6 asset pricing 6 empirical pricing kernel 6 macroprudential regulation 6 systemic externalities 6 systemic risk 6 Deutschland 5 Kapitalmarkttheorie 5 Nonparametric statistics 5 Prognoseverfahren 5
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Online availability
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Free 100 CC license 3
Type of publication
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Book / Working Paper 82 Article 18
Type of publication (narrower categories)
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Working Paper 38 Graue Literatur 20 Non-commercial literature 20 Arbeitspapier 17 Article in journal 12 Aufsatz in Zeitschrift 12 Thesis 7 Article 4 Hochschulschrift 3 Collection of articles of several authors 1 Sammelwerk 1
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Language
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English 85 Undetermined 14 Italian 1
Author
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Härdle, Wolfgang Karl 11 Härdle, Wolfgang 10 Lüders, Erik 7 Korinek, Anton 6 Escanciano, Juan Carlos 4 Grith, Maria 4 Hoderlein, Stefan 4 Krätschmer, Volker 4 Lewbel, Arthur 4 Linton, Oliver 4 Marzo, Massimiliano 4 Peisl, Bernhard 4 Srisuma, Sorawoot 4 Zagaglia, Paolo 4 Belomestny, Denis 3 Derviz, Alexis 3 Detlefsen, Kai 3 Dierkes, Maik 3 Franke, Günter 3 Krupski, Jan 3 Ma, Shujie 3 Mele, Antonio 3 Sala, Carlo 3 Schroen, Sebastian 3 Sibbertsen, Philipp 3 Wang, Weining 3 BARONE-ADESI, Giovanni 2 Barnett, William 2 Barone-Adesi, Giovanni 2 Beare, Brendan K. 2 Chen, Yi-Hsuan 2 Ghosh, Anisha 2 Golubev, Yuri 2 Heston, Steven L. 2 Jacobs, Kris 2 Julliard, Christian 2 Macrina, Andrea 2 Mahomed, Obeid 2 McCulloch, J. Huston 2 Moro, Rouslan 2
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Institution
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Sonderforschungsbereich 649: Ökonomisches Risiko, Wirtschaftswissenschaftliche Fakultät 9 Department of Economics, University of Kansas 2 European Central Bank 2 Oesterreichische Nationalbank 2 Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München 2 Zentrum für Europäische Wirtschaftsforschung (ZEW) 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 Econometric Society 1 Federal Reserve Board (Board of Governors of the Federal Reserve System) 1 Graduate School of Economics, Osaka University 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 Society for Computational Economics - SCE 1
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Published in...
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SFB 649 Discussion Papers 9 SFB 649 Discussion Paper 8 ZEW Discussion Papers 4 CoFE Discussion Paper 3 Research paper series / Swiss Finance Institute 3 Cambridge working papers in economics 2 Cambridge-INET working papers 2 CoFE discussion papers 2 ECB Working Paper 2 MPRA Paper 2 Quaderni - working paper DSE / Alma Mater Studiorum - Università di Bologna, Department of Economics 2 Review of Derivatives Research 2 Risks : open access journal 2 Swiss Finance Institute Research Paper Series 2 WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS 2 Working Paper 2 Working Paper Series / European Central Bank 2 Working Papers / Oesterreichische Nationalbank 2 CEMMAP working papers / Centre for Microdata Methods and Practice 1 CREATES research paper 1 Center for Mathematical Economics Working Papers 1 Cogent Economics & Finance 1 Cogent economics & finance 1 Computing in Economics and Finance 2004 1 Czech Journal of Economics and Finance (Finance a uver) 1 DISA Working Papers 1 Discussion Papers in Economics and Business 1 Discussion paper / LSE Financial Markets Group 1 ESI working papers 1 Econometric Society 2004 North American Winter Meetings 1 Economic theory 1 Economics Series / Department of Economics and Finance Research and Teaching, Institut für Höhere Studien (IHS) 1 Economics letters 1 Finance and Economics Discussion Series 1 IRTG 1792 Discussion Paper 1 IRTG 1792 discussion paper 1 Job market paper 1 Journal of empirical finance 1 LSE Research Online Documents on Economics 1 Mathematical finance : an international journal of mathematics, statistics and financial economics 1
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Source
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ECONIS (ZBW) 35 RePEc 34 EconStor 25 BASE 6
Showing 1 - 10 of 100
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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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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
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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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