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Nonparametric estimation of state-price densities implicit in financial asset prices

Aït-Sahalia, Yacine; Lo, Andrew W. - 1995

Persistent link: https://www.econbiz.de/10000935916

On the functional estimation of jump-diffusion models

Bandi, Federico M.; Nguyen, Thong H. - In: Journal of econometrics 116 (2003) 1/2, pp. 293-328

Persistent link: https://www.econbiz.de/10001772153

Nonparametric estimation of the time-varying sharpe ratio in dynamic asset pricing models

Wöhrmann, Peter; Semmler, Willi; Lettau, Martin - 2005

Persistent link: https://www.econbiz.de/10002717726

Semi-Parametric Restrictions on Production-Based Asset Pricing Models

Chen, Andrew Y. - 2016

Matching asset price volatility in production economies is difficult. This paper shows that this difficulty can be summarized by three nested restrictions. First, matching asset price volatility requires volatile investment returns. Second, volatile investment returns require either large...

Persistent link: https://www.econbiz.de/10012997483

Capital Asset Pricing Model : Nonparametric Estimation of Beta Parameter by the Bootstrap Statistical Methodology

Frangos, Christos C. - 2010

involved. The Capital Asset Pricing Model (CAPM) is a linear model of the form: rs = α βrm ε, where rs, rm, are the returns of … (beta) in the CAPM model and the specific risk by the standard error of estimation Sc. The parameter beta of a security … the researcher from the need to assume the Normality of the errors in the CAPM model, because of its non-parametric nature …

Persistent link: https://www.econbiz.de/10013139023

Local Identification of Nonparametric and Semiparametric Models

Chen, Xiaohong - 2012

In parametric models a sufficient condition for local identification is that the vector of moment conditions is differentiable at the true parameter with full rank derivative matrix. We show that additional conditions are often needed in nonlinear, nonparametric models to avoid nonlinearities...

Persistent link: https://www.econbiz.de/10013097986

Estimation of High-Dimensional Contextual Pricing Models with Nonparametric Price Confounders

Wang, Yining - 2023

Personalized or contextual pricing is widespread practice in a number of revenue management problems. A pricing algorithm or platform utilizes a user’s personal data to make the most profitable pricing decisions that could vary among individuals. In this paper, we study the question of...

Persistent link: https://www.econbiz.de/10014347654

Local Identification of Nonparametric and Semiparametric Models

Chen, Xiaohong - 2011

In parametric models a sufficient condition for local identification is that the vector of moment conditions is differentiable at the true parameter with full rank derivative matrix. We show that there are corresponding sufficient conditions for nonparametric models. A nonparametric rank...

Persistent link: https://www.econbiz.de/10013126074

Local identification of nonparametric and semiparametric models

Chen, Xiaohong; Chernozhukov, Victor; Lee, Sokbae; … - 2011

In parametric models a sufficient condition for local identifcation is that the vector of moment conditions is differentiable at the true parameter with full rank derivative matrix. We show that there are corresponding sufficient conditions for nonparametric models. A nonparametric rank...

Persistent link: https://www.econbiz.de/10009008188

Testing conditional factor models

Ang, Andrew; Kristensen, Dennis - In: Journal of financial economics 106 (2012) 1, pp. 132-156

Persistent link: https://www.econbiz.de/10009666667