The Institute for Statistics and Mathematics is pleased to invite you to the next research seminar, taking place on campus:

Wolfgang Karl Härdle (School of Business and Economics, Humboldt-Universität zu Berlin)​​​​​​​
Pricing kernels are often non-monotone...
Monday, January 13, 2025, 17:30, Building D4, Room D4.0.127

Abstract:
Nonparametric estimation of the pricing kernel has led to a "puzzle", that challenged finance principles. The apparent non monotonicity of the empirical pricing kernel has been addressed as improper use of past and future observations. A new CDI spline based smoothing technique-reflecting the forward looking information sets-puts the estimated pricing kernel into a seemingly theory compatible shape. Our findings, though, show equivalence between the two techniques. We discover that CDI cannot be fully consistent since it relies on averaging in an almost constant stochastic dynamics world. Empirical insights rather point to economic phenomena and not to technical flaws.
 

We aim to stream all on-campus talks via Zoom. A direct link to the stream will be posted on our website.

For further information and the seminar schedule, please see:
www.wu.ac.at/en/statmath/research/resseminar