An Empirical Test of Pricing Kernel Monotonicity (JAE 2016)

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Contents

Article

Authors Title Journal Year Edition Pages JEL Codes Keywords
Brendan K. Beare, Lawrence D. W. Schmidt An Empirical Test of Pricing Kernel Monotonicity JAE 2016 2 338–56 - Finance, Empirical pricing kernels, Social and behavioral sciences

Article information

Program code Data Readme Method(s) & estimation Data type Data used Origin of data used Software used (Version)
0 - not available online 1 - accessible on journal website 1 - accessible on journal website Generalized autoregressive conditional heteroskedasticity (GARCH), log-linear RealGARCH (1, 2) model of Hansen et al. (2012), Density ratios, Ordinal dominance curves, Kernel - prices for European call and put options written on the, S&P 500, January 1997-December 2013 from data provider, DeltaNeutral, which collects prices for options reported by, Options Price Reporting Authority (OPRA), bid–ask averages of OPRA’s reported prices for different options at close of market on each trading day, along with corresponding trading volumes Europe -

Replication of this study

Authors Title Journal Year Edition Pages JEL Codes Keywords Replication type Replication result [refer to replication type 1 and 2] Raw data Call into question Authors statement

References

DOI: 10.1002/jae.2422 IDEAS: a/wly/japmet/v31y2016i2p338-356.html EconPapers: RePEc:wly:japmet:v:31:y:2016:i:2:p:338-356


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