stable statistical moments over time. The distribution is assumed to have constant moments with e.g., Gaussian distribution … that can be conveniently parameterised by the first two moments. However, with market volatility increasing over time and …

stable subsamples over time align with the true structure changes observed throughout the market. …

estimated nonparametrically too. In this framework, we develop the asymptotic distribution theory of the EPK in the L1 sense …, as an alternative to the asymptotic approach, we propose a bootstrap confidence band. The developed theory is helpful for … established results are assessed and compared in a Monte-Carlo study. As a real application, we test risk aversion over time …