Sökning: "Nonparametric SDF"

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  1. 1. Nonparametric Asset Pricing with Conditioning Information

    D-uppsats, Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

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

    Sammanfattning : 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