Empirical Pricing Kernels

Joshua Rosenberg () and Robert F. Engle

New York University, Leonard N. Stern School Finance Department Working Paper Seires from New York University, Leonard N. Stern School of Business-

Abstract: This paper investigates the empirical characteristics of investor risk aversion over equity return states by estimating a daily semi-parametric pricing kernel. The two key features of this estimator are: (1) the functional form of the pricing kernel is estimated semi-parametrically, instead of being prespecified and (2) the pricing kernel is re-estimated on a daily basis, allowing measurement of time-variation in risk-aversion over equity return states.

Date: 2000-07
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http://www.stern.nyu.edu/fin/workpapers/papers99/wpa99014.pdf (application/pdf)

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Journal Article: Empirical pricing kernels (2002)
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Persistent link: http://EconPapers.repec.org/RePEc:fth:nystfi:99-014

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