Testing market efficiency with the pricing kernel
Author:
Affiliation:
1. Swiss Finance Institute at Università della Svizzera Italiana (USI), Institute of Finance, Lugano, Switzerland
2. Department of Financial Management and Control, ESADE Business School, Ramon LLull University, Barcelona, Spain
Funder
Swiss Finance Institute
Swiss National Science Foundation
Publisher
Informa UK Limited
Subject
Economics, Econometrics and Finance (miscellaneous)
Link
https://www.tandfonline.com/doi/pdf/10.1080/1351847X.2019.1581638
Reference51 articles.
1. Adesi, G.B., K. Giannopoulos, and L. Vosper. 1999. VaR without correlations for portfolios of derivative securities. Vol. 19, 583–602. Newyork: Palgrave Pivot.
2. Nonparametric Estimation of State-Price Densities Implicit in Financial Asset Prices
3. Returns of claims on the upside and the viability of U-shaped pricing kernels☆
4. A GARCH Option Pricing Model with Filtered Historical Simulation
5. Measure preserving derivatives and the pricing kernel puzzle
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