Härdle, Wolfgang; Okhrin, Yarema; Wang, Weining - 2010
Pricing kernels implicit in option prices play a key role in assessing the risk aversion over equity returns. We deal … 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 …