asymptotic distribution, we also obtain robustness results for our estimator. All of our results are valid for a broad class of ß …

asymptotic distribution, we also obtain robustness results for our estimator. All of our results are valid for a broad class of ß …

Support Vector Machine (SVM) and a logistic regression (Logit). Among different financial ratios suggested as predictors of … accuracy the SVM has a lower model risk than the Logit on average and displays a more robust performance. This result holds …

We propose a new method to estimate the empirical pricing kernel based on option data. We estimate the pricing kernel …-neutral density is approximated by a weighted kernel density estimator with varying unknown weights for different observations, and … the subjective density is approximated by a kernel density estimator with equal weights. We represent the European call …

the logit regression. The results demonstrate that the SVM has clear advantages over these methods for all variables …