Empirical Pricing Kernels
By Joshua V. Rosenberg, Robert F. Engle. 2002
674 citations recorded by the source corpus.
Subfields: Finance
View Paper: https://www.semanticscholar.org/paper/4bdadeba9d2dc2a785e8b4c3472f6421cd4d7032
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In Finance
- Andrew J. Patton
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Citations in the corpus
- A GARCH Option Pricing Model with Filtered Historical Simulation (2008, positive): “For example, Rosenberg and Engle (2002) document that empirical risk aversions change with the business cycle in a counter-cyclical way, increasing (decreasing) during contractions (expansions) of the economy.”
- A tale of two option markets: Pricing kernels and volatility risk ☆ (2014, positive): “Alternative choices of bandwidths have been discussed in Yao and Tong (1998) and Ruppert et al. (1995).”
- Monotonicity in asset returns: New tests with applications to the term structure, the CAPM, and portfolio sorts (2010, positive): “To deal with the problem of not knowing the parameters of the covariance matrix or the critical values of the test statistic, we follow recent studies on financial time series such as Sullivan, Timmermann, and White (1999) and Kosowski, Timmermann, Wermers, and White (2006) and use a bootstrap metho”
- Predictable Dynamics in the S&P 500 Index Options Implied Volatility Surface (2005, methodology): “Finally, Rosenberg and Engle (2002) propose a ßexible method to estimate the pricing kernel.”
- The jump-risk premia implicit in options: evidence from an integrated time-series study $ (2002, background): “In the same spirit, Rosenberg and Engle [1999] estimate an empirical pricing kernel.”
- The Time Variation in Risk Appetite and Uncertainty (2019, background): “For example, in the options literature, a number of articles (Ait-Sahalia and Lo 2000, Britten-Jones and Neuberger 2000, Jackwerth 2000, Rosenberg and Engle 2002, Bakshi et al. 2003, Bliss and Panigirtzoglou 2004, Bakshi and Wu 2010, Faccini et al. 2019) appear at fi rst glance to infer risk…”
- Maximum Likelihood Estimation of Latent Affine Processes (2006, neutral): “It is also the standard benchmark against which implicit pricing kernels are compared (Rosenberg and Engle, 2002; Bliss and Panagirtzoglou, 2004).”