Empirical reverse engineering of the pricing kernel
- 31 October 2003
- journal article
- Published by Elsevier in Journal of Econometrics
- Vol. 116 (1-2) , 329-364
- https://doi.org/10.1016/s0304-4076(03)00111-8
Abstract
No abstract availableKeywords
This publication has 42 references indexed in Scilit:
- Spectral GMM estimation of continuous-time processesJournal of Econometrics, 2003
- A study towards a unified approach to the joint estimation of objective and risk neutral measures for the purpose of options valuationJournal of Financial Economics, 2000
- Spanning and derivative-security valuationPublished by Elsevier ,2000
- By Force of Habit: A Consumption‐Based Explanation of Aggregate Stock Market BehaviorJournal of Political Economy, 1999
- Nonparametric Estimation of State‐Price Densities Implicit in Financial Asset PricesThe Journal of Finance, 1998
- GMM Estimation of a Stochastic Volatility Model: A Monte Carlo StudyJournal of Business & Economic Statistics, 1996
- Testing Volatility Restrictions on Intertemporal Marginal Rates of Substitution Implied by Euler Equations and Asset ReturnsThe Journal of Finance, 1994
- Hansen-Jagannathan Bounds as Classical Tests of Asset-Pricing ModelsJournal of Business & Economic Statistics, 1994
- No Arbitrage and Arbitrage Pricing: A New ApproachThe Journal of Finance, 1993
- The Pricing of Options and Corporate LiabilitiesJournal of Political Economy, 1973