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2007-05-03Buch DOI: 10.18452/4044
Statistics of Risk Aversion
dc.contributor.authorGiacomini, Enzo
dc.contributor.authorHärdle, Wolfgang Karl
dc.date.accessioned2017-06-15T23:25:46Z
dc.date.available2017-06-15T23:25:46Z
dc.date.created2007-05-04
dc.date.issued2007-05-03
dc.identifier.issn1860-5664
dc.identifier.urihttp://edoc.hu-berlin.de/18452/4696
dc.description.abstractInformation about risk preferences from investors is essential for modelling a wide range of quantitative finance applications. Valuable information related to preferences can be extracted from option prices through pricing kernels. In this paper, pricing kernels and their term structure are estimated in a time varying approach from DAX and ODAX data using dynamic semiparametric factor model (DSFM). DSFM smooths in time and space simultaneously, approximating complex dynamic structures by basis functions and a time series of loading coefficients. Contradicting standard risk aversion assumptions, the estimated pricing kernels indicate risk proclivity in certain levels of return. The analysis of the time series of loading coefficients allows a better understanding of the dynamic behaviour from investors preferences towards risk.eng
dc.language.isoeng
dc.publisherHumboldt-Universität zu Berlin, Wirtschaftswissenschaftliche Fakultät
dc.rights.urihttp://rightsstatements.org/vocab/InC/1.0/
dc.subjectPricing Kerneleng
dc.subjectRisk Aversioneng
dc.subjectDynamic Semiparametric Estimationeng
dc.subject.ddc330 Wirtschaft
dc.titleStatistics of Risk Aversion
dc.typebook
dc.identifier.urnurn:nbn:de:kobv:11-10077507
dc.identifier.doihttp://dx.doi.org/10.18452/4044
local.edoc.container-titleSonderforschungsbereich 649: Ökonomisches Risiko
local.edoc.pages11
local.edoc.type-nameBuch
local.edoc.container-typeseries
local.edoc.container-type-nameSchriftenreihe
local.edoc.container-volume2007
local.edoc.container-issue25
local.edoc.container-year2007
local.edoc.container-erstkatid2195055-6

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