with nonparametric estimation of the pricing kernel (Empirical Pricing Kernel) given by the ratio of the risk …Pricing kernels implicit in option prices play a key role in assessing the risk aversion over equity returns. We deal … testing parametric specifications of pricing kernels and has a direct extension to estimating risk aversion patterns. The …

temperature models to investigate the temperature risk drivers. …

are offered and applications to stock market and weather analysis are presented. …

pricing with both risk free asset and risky security, we propose a class of semiparametric regressions for a combination of a … further investigate the asymptotic behaviors of estimation by using sophisticated nonparametric smoothing. Monte Carlo …

It is an undisputed fact that weather risk increases over time due to climate change. However, qualification of this … statement with regard to the type of weather risk and geographical location is needed. We investigate the application of novel … statistical tools for assessing changes in weather risk over time. We apply local t-test, change point tests and Mann-Kendall test …

out of agriculture and from the informal to the formal sector, much of the impact is manifested in growing wage …