Browsing Produção Intelectual em Bases Externas by Subject "Kernel, Funções de"

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    • Economic implications of nonlinear pricing kernels 

      Almeida, Caio Ibsen Rodrigues de; Garcia, René
      2017-10
      Based on a family of discrepancy functions, we derive nonparametric stochastic discount factor bounds that naturally generalize variance, entropy, and higher-moment bounds. These bounds are especially useful to identify ...

    • Forward-premium puzzle: is it time to abandon the usual regression? 

      Costa, Carlos Eugênio da; Jesus Filho, Jaime de; Matos, Paulo Rogério Faustino
      2016-06
      The forward premium puzzle is usually evidenced by the rejection of the null hypothesis in the uncovered interest parity (UIP) regression. Because this parity need only hold in a risk-neutral world, a risk adjustment term ...

    • Testing for symmetry and conditional symmetry using asymmetric kernels 

      Fernandes, Marcelo; Mendes, Eduardo Fonseca; Scaillet, Olivier
      2015-08
      We derive nonparametric tests of symmetry using asymmetric kernels with either vanishing or fixed bandwidths. The idea is to split the sample around the symmetry point and then test whether the distributions to the right ...