This chapter deals with nonparametric estimation of the risk neutral density. We present three different approaches which do not require parametric functional assumptions on the underlying asset price dynamics nor on the distributional form of the risk neutral density. The first estimator is a...

We consider an extension of conventional univariate Kaplan-Meier type estimators for the hazard rate and the survivor function to multivariate censored data with a censored random regressor. It is an Akritas (1994) type estimator which adapts the nonparametric conditional hazard rate estimator...

Pricing kernels implicit in option prices play a key role in assessing the risk aversion over equity returns. We deal with non-parametric estimation of the pricing kernel (Empirical Pricing Kernel) given by the ratio of the risk-neutral density estimator and the subjective density estimator. The...

Pricing kernels implicit in option prices play a key role in assessing the risk aversion over equity returns. We deal with nonparametric estimation of the pricing kernel (Empirical Pricing Kernel) given by the ratio of the risk-neutral density estimator and the subjective density estimator. The...

In this paper we derive nonparametric bounds for the cumulative incidence curve within a competing risks model with partly identified interval data. As an advantage over earlier attempts our approach also gives valid results in case of dependent competing risks. We apply our framework to...

The German potable water supply industry is regarded highly fragmented, thus preventing efficiency improvements that could happen through consolidation. Focusing on a hypothetical restructuring of the industry, we use a cross-section sample of 364 German water utilities in 2006, applying Data...

Angesichts der Vielfältigkeit des deutschen Bildungssystems erscheint es fraglich, die Entwicklung der Lohnstruktur lediglich anhand durchschnittlicher, meist semiparametrisch geschätzter Bildungsrenditen zu beurteilen. Die Arbeit konzentriert sich daher im theoretischen Teil auf die...