In this paper, we explain why a nonparametric approach based on a betakernel [Renault, Scaillet (2004)] will lead to significant bias when appliedto recovery rate distributions. This is due to a specific feature of thesedistributions, which admit strictly positive weights at 100 %...

We consider the problems of derivative pricing and inference when the stochastic discount factor has an exponentialaffineform and the geometric return of the underlying asset has a dynamics characterized by a mixture of conditionallyNormal processes. We consider both the static case in which the...

In this paper we propose a family of discrete-time term structure models where we specify a Gaussian autoregressiveof order p 1 historical and risk-neutral dynamics for the factor (xt), considered as a latent or observable variable: inthe second case the factor is a vector of several yields. We...

The purpose of this paper is to propose a general econometric approach to asset pricing modelling based onthree main ingredients : (i) the historical discrete-time dynamics of the factor representing the information, (ii)the Stochastic Discount Factor (SDF), and (iii) the discrete-time...