Arbeitspapier

Shape invariant modelling pricing kernels and risk aversion

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.

Sprache
Englisch

Erschienen in
Series: SFB 649 Discussion Paper ; No. 2009,041

Klassifikation
Wirtschaft
Semiparametric and Nonparametric Methods: General
Multiple or Simultaneous Equation Models: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
Asset Pricing; Trading Volume; Bond Interest Rates
Thema
Pricing kernels
risk aversion
risk neutral density
Börsenkurs
Core
Index-Futures
Anlageverhalten
Risikoaversion
Theorie
Europa

Ereignis
Geistige Schöpfung
(wer)
Grith, Maria
Härdle, Wolfgang Karl
Park, Juhyun
Ereignis
Veröffentlichung
(wer)
Humboldt University of Berlin, Collaborative Research Center 649 - Economic Risk
(wo)
Berlin
(wann)
2009

Handle
Letzte Aktualisierung
10.03.2025, 11:44 MEZ

Datenpartner

Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.

Objekttyp

  • Arbeitspapier

Beteiligte

  • Grith, Maria
  • Härdle, Wolfgang Karl
  • Park, Juhyun
  • Humboldt University of Berlin, Collaborative Research Center 649 - Economic Risk

Entstanden

  • 2009

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