Giacomini, Enzo; Härdle, Wolfgang - Sonderforschungsbereich Ökonomisches Risiko <Berlin> - 2007
theory enforces that the utility function is concave or equivalently, that investors are risk averse. Equilibrium and non … by the pricing kernel (PK).
In this paper we investigate pricing kernels from DAX and ODAX data in a time varying … approach and consider their term structure. In order to approximate and analyse the complex dynamic structure from pricing …