This chapter deals with nonparametric estimation of the risk neutral density. We present three different approaches … conditional on the physical measure of the underlying asset. Via direct series type estimation of the pricing kernel we can derive …

We propose marginal integration estimation and testing methods for the coefficients of varying coefficient multivariate … regression model. Asymptotic distribution theory is developed for the estimation method which enjoys the same rate of convergence … as univariate function estimation. For the test statistic, asymptotic normal theory is established. These theoretical …