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.
Sieve estimation of the minimal entropy martingale marginal density with application to pricing kernel estimation [link]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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