Empirical pricing kernels for the UK equity market are derived as the ratio between risk-neutral densities, inferred from FTSE 100 index options, and historical real-world densities, estimated from time series of the index. The kernels thus obtained are almost compatible with a risk averse representative agent, unlike similar estimates for the US market.
|Number of pages||5|
|Journal||Applied Economics Letters|
|Publication status||Published - 2009|
ASJC Scopus subject areas
- Economics and Econometrics