Sieve estimation of the minimal entropy martingale marginal density with application to pricing kernel estimation. Belomestny, D., Härdle, W. K., & Krymova, E. Int. J. Theor. Appl. Finance, 20(6):1750041, 21, 2017.
Paper doi bibtex 1 download @article {MR3695462,
AUTHOR = {Belomestny, Denis and H\"{a}rdle, Wolfgang Karl and Krymova,
Ekaterina},
TITLE = {Sieve estimation of the minimal entropy martingale marginal
density with application to pricing kernel estimation},
JOURNAL = {Int. J. Theor. Appl. Finance},
FJOURNAL = {International Journal of Theoretical and Applied Finance},
VOLUME = {20},
YEAR = {2017},
NUMBER = {6},
PAGES = {1750041, 21},
ISSN = {0219-0249},
MRCLASS = {91G20},
MRNUMBER = {3695462},
MRREVIEWER = {Tak Kuen Siu},
DOI = {10.1142/S0219024917500418},
URL = {https://doi.org/10.1142/S0219024917500418},
}
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