major theories are proposed to model the reference price reaction: assimilation contrast theory and prospect theory. We …

estimation in particular has favorable properties in this setting compared to the two-step GMM procedure, which is demonstrated … in a Monte Carlo experiment. The proposed method is applied to the estimation of a cigarette demand function …

with nonparametric estimation of the pricing kernel (Empirical Pricing Kernel) given by the ratio of the risk … estimated nonparametrically too. In this framework, we develop the asymptotic distribution theory of the EPK in the L1 sense …, as an alternative to the asymptotic approach, we propose a bootstrap confidence band. The developed theory is helpful for …

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 …