Sökning: "Nonparametric SDF"
Hittade 1 uppsats innehållade orden Nonparametric SDF.
1. Nonparametric Asset Pricing with Conditioning Information
D-uppsats, Handelshögskolan i Stockholm/Institutionen för finansiell ekonomiSammanfattning : 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. LÄS MER
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