Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/39318 
Full metadata record
DC FieldValueLanguage
dc.contributor.authorHärdle, Wolfgang Karlen
dc.contributor.authorOkhrin, Yaremaen
dc.contributor.authorWang, Weiningen
dc.date.accessioned2010-04-16-
dc.date.accessioned2010-08-26T11:57:15Z-
dc.date.available2010-08-26T11:57:15Z-
dc.date.issued2010-
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
dc.language.isoengen
dc.publisher|aHumboldt University of Berlin, Collaborative Research Center 649 - Economic Risk |cBerlinen
dc.relation.ispartofseries|aSFB 649 Discussion Paper |x2010,003en
dc.subject.jelC00en
dc.subject.jelC14en
dc.subject.jelJ01en
dc.subject.jelJ31en
dc.subject.ddc330en
dc.subject.keywordEmpirical Pricing Kernelen
dc.subject.keywordConfidence banden
dc.subject.keywordBootstrapen
dc.subject.keywordKernel Smoothingen
dc.subject.keywordNonparametricen
dc.subject.stwOptionspreistheorieen
dc.subject.stwKapitalertragen
dc.subject.stwRisikoaversionen
dc.subject.stwNichtparametrisches Verfahrenen
dc.subject.stwSchätztheorieen
dc.subject.stwTheorieen
dc.subject.stwSchätzungen
dc.subject.stwAktienoptionen
dc.subject.stwDeutschlanden
dc.titleUniform confidence bands for pricing kernels-
dc.type|aWorking Paperen
dc.identifier.ppn623834472en
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen

Files in This Item:
File
Size
886.55 kB





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