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dc.contributor.authorHärdle, Wolfgang Karlen_US
dc.contributor.authorOkhrin, Yaremaen_US
dc.contributor.authorWang, Weiningen_US
dc.date.accessioned2010-04-16en_US
dc.date.accessioned2010-08-26T11:57:15Z-
dc.date.available2010-08-26T11:57:15Z-
dc.date.issued2010en_US
dc.identifier.urihttp://hdl.handle.net/10419/39318-
dc.description.abstractPricing kernels implicit in option prices play a key role in assessing the risk aversion over equity returns. We deal with nonparametric estimation of the pricing kernel (Empirical Pricing Kernel) given by the ratio of the risk-neutral density estimator and the subjective density estimator. The former density can be represented as the second derivative w.r.t. the European call option price function, which we estimate by nonparametric regression. The subjective density is estimated nonparametrically too. In this framework, we develop the asymptotic distribution theory of the EPK in the L1 sense. Particularly, to evaluate the overall variation of the pricing kernel, we develop a uniform confidence band of the EPK. Furthermore, as an alternative to the asymptotic approach, we propose a bootstrap confidence band. The developed theory is helpful for testing parametric specifications of pricing kernels and has a direct extension to estimating risk aversion patterns. The established results are assessed and compared in a Monte-Carlo study. As a real application, we test risk aversion over time induced by the EPK.en_US
dc.language.isoengen_US
dc.publisherSFB 649, Economic Risk Berlinen_US
dc.relation.ispartofseriesSFB 649 discussion paper 2010,003en_US
dc.subject.jelC00en_US
dc.subject.jelC14en_US
dc.subject.jelJ01en_US
dc.subject.jelJ31en_US
dc.subject.ddc330en_US
dc.subject.keywordEmpirical Pricing Kernelen_US
dc.subject.keywordConfidence banden_US
dc.subject.keywordBootstrapen_US
dc.subject.keywordKernel Smoothingen_US
dc.subject.keywordNonparametricen_US
dc.subject.stwOptionspreistheorieen_US
dc.subject.stwKapitalertragen_US
dc.subject.stwRisikoaversionen_US
dc.subject.stwNichtparametrisches Verfahrenen_US
dc.subject.stwSchätztheorieen_US
dc.subject.stwTheorieen_US
dc.subject.stwSchätzungen_US
dc.subject.stwAktienoptionen_US
dc.subject.stwDeutschlanden_US
dc.titleUniform confidence bands for pricing kernelsen_US
dc.typeWorking Paperen_US
dc.identifier.ppn623834472en_US
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungen-
Appears in Collections:SFB 649 Discussion Papers, HU Berlin

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