Essays about: "Nonlinear Pricing Kernel"

Found 1 essay containing the words Nonlinear Pricing Kernel.

  1. 1. Nonparametric Asset Pricing with Conditioning Information

    University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

    Author : Christoffer Sjöström; Dominik Schmitz; [2018]
    Keywords : Conditional Asset Pricing; Nonparametric SDF; Nonlinear Pricing Kernel; Stochastic Discount Factor; Time-varying Betas;

    Abstract : This study sets out to be the very first in introducing the notion of a nonlinear pricing kernel in conditional asset pricing for the Swedish equity market. By implementing a flexible nonparametric methodology, we are able to conduct tests that are completely free from functional form specifications of time-varying betas, risk premia and the stochastic discount factor. READ MORE