Skip to main content

Questions tagged [kernel]

The tag has no usage guidance.

Filter by
Sorted by
Tagged with
7 votes
2 answers
1k views

How do you synthesize a probability density function (pdf) from equally weighted price data?

What I'm working with: I have a collection of prices that has very few to no repeating values (depending on the look back period) ie each price value is unique, some prices are clustered and some can ...
montyhall's user avatar
5 votes
1 answer
605 views

Data Selection for Empirical Pricing Kernel Estimation (Stochastic Discount Factor)

I want to estimate an empirical pricing kernel for an index. Hence, I need to estimate a physical and risk neutral density. For estimating the physical density, only the index data in an observed time ...
Finance_Newbie's user avatar