Consistent Estimation of Pricing Kernels from Noisy Price Data

Details Consistent Estimation of Pricing Kernels from Noisy Price Data Consistent Estimation of Pricing Kernels from Noisy Price Data

2003-10-15

arxiv.org/abs/math/0310223v1

Mathematics

Statistics Theory

13 pages

Scientific paper

If pricing kernels are assumed non-negative then the inverse problem of finding the pricing kernel is well-posed. The constrained least squares method provides a consistent estimate of the pricing kernel. When the data are limited, a new method is suggested: relaxed maximization of the relative entropy. This estimator is also consistent. Keywords: $\epsilon$-entropy, non-parametric estimation, pricing kernel, inverse problems.

Affiliated with

Also associated with

No associations

Rating

Consistent Estimation of Pricing Kernels from Noisy Price Data does not yet have a rating. At this time, there are no reviews or comments for this scientific paper.

If you have personal experience with Consistent Estimation of Pricing Kernels from Noisy Price Data, we encourage you to share that experience with our LandOfFree.com community. Your opinion is very important and Consistent Estimation of Pricing Kernels from Noisy Price Data will most certainly appreciate the feedback.

Rate now

Comments { 0 }

Profile ID: LFWR-SCP-O-527715