Giacomini, Enzo; Handel, Michael; Härdle, Wolfgang K. - Sonderforschungsbereich Ökonomisches Risiko <Berlin>
changes in pricing kernels is found
to be log-linear, although this relation is not significant for all of the
examined … other factors. However, for simplicity, they are considered
constant in this section. The conditional density of the stock … used in this work. The static model for estimating
the pricing kernel and relative risk aversion on a daily basis is …