We consider nonparametric identification and estimation of pricing kernels, or equivalently of marginal utility … estimation with the computation of a matrix eigenvector problem. Our estimator avoids the ill-posed inverse issues associated …

We propose a solution to the measurement error problem that plagues the estimation of the relation between the expected …

robust estimation of both long-run and short-run volatilities. Our estimation is semiparametric since the long-run volatility … propose different robust estimation methods for nonstationary and strictly stationary GARCH parameters with nonparametric long … run volatility function. Our estimation is based on a two-step LAD procedure. We establish the relevant asymptotic theory …

We introduce econometric methods to perform estimation and inference on the permanent and transitory components of the …

nonparametric first step and a beta-adaptive portfolios construction. Our framework rationalizes the well-known estimation algorithm …

nonparametric first step and a beta-adaptive portfolios construction. Our framework rationalizes the well-known estimation algorithm … ensure valid estimation and inference allowing for a range of hypotheses of interest in financial applications. We show that …