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Showing 1 to 1 of 1 for “"Nonparametric Fitting"”.
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Uniform Confidence Band for Pricing Kernels
… 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 former density can be represented as the second derivative w.r.t. the …