EconStor >
Humboldt-Universität Berlin >
Sonderforschungsbereich 649: Ökonomisches Risiko, Humboldt-Universität Berlin >
SFB 649 Discussion Papers, HU Berlin >

Please use this identifier to cite or link to this item:

http://hdl.handle.net/10419/39277
  
Title:Shape invariant modelling pricing kernels and risk aversion PDF Logo
Authors:Grith, Maria
Härdle, Wolfgang Karl
Park, Juhyun
Issue Date:2009
Series/Report no.:SFB 649 discussion paper 2009,041
Abstract:Pricing kernels play a major role in quantifying risk aversion and investors' preferences. Several empirical studies reported that pricing kernels exhibit a common pattern across different markets. Mostly visual inspection and occasionally numerically summarise are used to make comparison. With increasing amount of information updated every day, the empirical pricing kernels can be viewed as an object evolving over time. We propose a systematic modelling approach to describing the evolution of the empirical pricing kernels. The approach is based on shape invariant models. It captures the common features contained in the shape of the functions and at the same time characterises the variability between the pricing kernels based on a few interpretable parameters. The method is demonstrated with the European options and returns values of DAX index.
Subjects:Pricing kernels
risk aversion
risk neutral density
JEL:C14
C32
G12
Document Type:Working Paper
Appears in Collections:SFB 649 Discussion Papers, HU Berlin

Files in This Item:
File Description SizeFormat
607930683.pdf559.35 kBAdobe PDF
No. of Downloads: Counter Stats
Download bibliographical data as: BibTeX
Share on:http://hdl.handle.net/10419/39277

Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.