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Revisited multi-moment approximate option pricing models: a general comparison (Part 1)
Jurczenko, Emmanuel; Maillet, Bertrand; Negrea, Bogdan - London School of Economics (LSE) - 2002
these models the analytical expressions of implied probability densities, implied volatility smile functions and several …
Persistent link: https://www.econbiz.de/10010745304
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Uncertainty and leveraged Lucas Trees: the cross section of equilibrium volatility risk premia
Vedolin, Andrea - London School of Economics (LSE) - 2012
Volatility risk premia compensate agents for holding assets whose payoffs correlate with times of high return variation …. This paper takes a structural approach to explain the cross-section of volatility risk premia of stocks using a Lucas … uncertainty, namely (i) agents’ disagreement and (ii) time-varying volatility of fundamental growth rates. The paper shows that …
Persistent link: https://www.econbiz.de/10010745732
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Skewness and kurtosis implied by option prices: a second comment
Jurczenko, Emmanuel; Maillet, Bertrand; Negrea, Bogdan - London School of Economics (LSE) - 2002
Several authors have proposed series expansion methods to price options when the risk-neutral density is asymmetric and leptokurtic. Among these, Corrado and Su (1996) provide an intuitive pricing formula based on a Gram-Charlier Type A series expansion. However, their formula contains a...
Persistent link: https://www.econbiz.de/10011071378
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Simulated nonparametric estimation of dynamic models with applications to finance
Altissimo, Filippo; Mele, Antonio - London School of Economics (LSE) - 2005
This paper introduces a new class of parameter estimators for dynamic models, called Simulated Nonparametric Estimators (SNE). The SNE minimizes appropriate distances between nonparametric joint (or conditional) densities estimated from sample data and nonparametric joint (or conditional)...
Persistent link: https://www.econbiz.de/10010745257
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Simulated nonparametric estimation of continuous time models of asset prices and returns
Altissimo, Filippo; Mele, Antonio - London School of Economics (LSE) - 2004
This paper introduces a new parameter estimator of dynamic models in which the state is a multidimensional, continuous-time, partially observed Markov process. The estimator minimizes appropriate distances between nonparametric joint (and/or conditional) densities of sample data and...
Persistent link: https://www.econbiz.de/10010745606
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Does beta move with news?: Systematic risk and firm-specific information flows
Patton, Andrew J.; Verardo, Michela - London School of Economics (LSE) - 2009
This paper shows that the systematic risk (or "beta") of individual stocks increases by an economically and statistically signi…cant amount on days of firm-specific news announcements, and reverts to its average level two to five days later. We employ intra-daily data and recent advances in...
Persistent link: https://www.econbiz.de/10011071113
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Real effects of regional house prices: dynamic panel estimation with heterogeneity
Muñoz, Sònia - London School of Economics (LSE) - 2004
This paper uses recently developed methods for estimating dynamic heterogeneous cointegrated panel data models - which allows for heterogeneity in parameters and dynamics across agents - to study housing wealth effects in a dynamic model of the 50 US states and the District of Columbia from the...
Persistent link: https://www.econbiz.de/10011071164
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Estimating semiparametric ARCH (8) models by kernel smoothing methods
Linton, Oliver; Mammen, Enno - London School of Economics (LSE) - 2003
We investigate a class of semiparametric ARCH(∞) models that includes as a special case the partially nonparametric (PNP) model introduced by Engle and Ng (1993) and which allows for both flexible dynamics and flexible function form with regard to the 'news impact' function. We propose an...
Persistent link: https://www.econbiz.de/10011071447
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Constrained indirect inference estimation
Calzorali, Giorgio; Fiorentini, Gabriele; Sentana, Enrique - London School of Economics (LSE) - 2001
) through MA(1), and stochastic volatility through GARCH with Gaussian or t distributed errors. …
Persistent link: https://www.econbiz.de/10010745065
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Loan securitisation: default term structure and asset pricing based on loss prioritisation
Jobst, Andreas A. - London School of Economics (LSE) - 2002
Ambivalence in the regulatory definition of capital adequacy for credit risk has recently stirred the financial services industry to collateral loan obligations (CLOs) as an important balance sheet management tool. CLOs represent a specialised form of Asset-Backed Securitisation (ABS), with...
Persistent link: https://www.econbiz.de/10010745131