This article proposes a new approach to testing for the hypothesis of a single priced risk factor driving the term structure of interest rates. The method does not rely on any parametric specification of the state variable dynamics or the market price of risk. It simply exploits the constraint...

The central point for the empirical testing of option pricing models is whether the actual distribution of the underlying asset implied by the option market data is consistent with the distribution assumed by the theoretical option pricing model. The well known volatility smile pattern suggests...

We study the nonparametric estimation of the average growth curve under a very general parametric form of the covariance structure that allows for monotone transformation of the time scale. We also investigate the properties of optimal bandwidth selection methods and compare the results with...