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The social cost of carbon with intragenerational inequality under economic uncertainty

Ploeg, Frederick van der; Emmerling, Johannes; Groom, … - 2022

A formula is derived for the social cost of carbon (SCC) that takes account of intragenerational income inequality and … intergenerational inequality aversion and for risk aversion. If growth increases (reduces) intra-generational inequality, the SDR is … lower (higher) and the SCC higher (lower) than along an inequality-neutral growth path, especially if intra-generational and …

Persistent link: https://www.econbiz.de/10013206181

Uniform confidence bands for pricing kernels

Härdle, Wolfgang Karl; Okhrin, Yarema; Wang, Weining - 2010

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...

Persistent link: https://www.econbiz.de/10010270732

Nonparametric estimation of risk-neutral densities

Grith, Maria; Härdle, Wolfgang Karl; Schienle, Melanie - 2010

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...

Persistent link: https://www.econbiz.de/10010270813

Quantifizierbarkeit von Risiken auf Finanzmärkten

Härdle, Wolfgang Karl; Kirchner, Christian Friedrich … - 2009

Die Krise der internationalen Finanzmärkte hat die allgemeine Wahrnehmung für die in diesen Märkten inhärenten Risiken merklich verändert. Glaubten manche Anleger in den Boomphasen der Finanzmärkte, dass sich eine hohe Kapitalrendite mit geringem Risiko verbinden ließe, wenn man nur die...

Persistent link: https://www.econbiz.de/10010270820

From animal baits to investors' preference: estimating and demixing of the weight function in semiparametric models for biased samples

Ritov, Ya'acov; Härdle, Wolfgang Karl - 2007

We consider two semiparametric models for the weight function in a bias sample model. The object of our interest parametrizes the weight function, and it is either Euclidean or non Euclidean. One of the models discussed in this paper is motivated by the estimation the mixing distribution of...

Persistent link: https://www.econbiz.de/10010274127

Statistics of risk aversion

Giacomini, Enzo; Härdle, Wolfgang Karl - 2007

Persistent link: https://www.econbiz.de/10010274128

Shape invariant modelling pricing kernels and risk aversion

Grith, Maria; Härdle, Wolfgang Karl; Park, Juhyun - 2009

Pricing kernels play a major role in quantifying risk aversion and investors' preferences. Several empirical studies reported that pricing kernels exhibit a common pattern across different markets. Mostly visual inspection and occasionally numerically summarise are used to make comparison. With...

Persistent link: https://www.econbiz.de/10010274190

From Animal Baits to Investors´ Preference: Estimating and Demixingof the Weight Function in Semiparametric Models for Biased Samples

Ritov, Ya’acov; Härdle, Wolfgang - Sonderforschungsbereich Ökonomisches Risiko <Berlin> - 2007

We consider two semiparametric models for the weight function in a biased sample model. The object of our interest parametrizes the weight function, and it is either Euclidean or non Euclidean. One of the models discussed in this paper is motivated by the estimation the mixing distribution of...

Persistent link: https://www.econbiz.de/10005861031

From animal baits to investors' preference : estimating and demixing of the weight function in semiparametric models for biased samples

Ritov, Ya'acov (contributor); Härdle, Wolfgang (contributor) - 2007

Persistent link: https://www.econbiz.de/10003633700

Statistics of risk aversion

Giacomini, Enzo (contributor); Härdle, Wolfgang (contributor) - 2007

Persistent link: https://www.econbiz.de/10003633711