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Evaluating Implied RNDs by some New Confidence Interval Estimation Techniques
Andersson, Magnus; Lomakka, Magnus - 2003
This paper evaluates the precision of the parametric double lognormal (DLN) and the nonparametric smoothing spline method (SPLINE) for estimating risk-neutral distributions (RNDs) from observed option prices. By using a bootstrap technique confidence bands are estimated for the riskneutral...
Persistent link: https://www.econbiz.de/10010321351
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Evaluating implied RNDs by some new confidence interval estimation techniques
Andersson, Magnus; Lomakka, Magnus - In: Journal of banking & finance 29 (2005) 6, pp. 1535-1557
Persistent link: https://www.econbiz.de/10002718152
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Evaluating Implied Rnds by Some New Confidence Interval Estimation Techniques
Andersson, Magnus - 2009
This paper evaluates the precision of the parametric double lognormal (DLN) and the nonparametric smoothing spline method (SPLINE) for estimating risk-neutral distributions (RNDs) from observed option prices. By using a bootstrap technique confidence bands are estimated for the riskneutral...
Persistent link: https://www.econbiz.de/10012721664
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Evaluating implied RNDs by some new confidence interval estimation techniques
Andersson, Magnus; Lomakka, Magnus - 2003
This paper evaluates the precision of the parametric double lognormal (DLN) and the nonparametric smoothing spline method (SPLINE) for estimating risk-neutral distributions (RNDs) from observed option prices. By using a bootstrap technique confidence bands are estimated for the riskneutral...
Persistent link: https://www.econbiz.de/10011585327
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Evaluating implied RNDs by some new confidence interval estimation techniques
Andersson, Magnus; Lomakka, Magnus - In: Journal of Banking & Finance 29 (2005) 6, pp. 1535-1557
Persistent link: https://www.econbiz.de/10005201009
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Evaluating Implied RNDs by some New Confidence Interval Estimation Techniques
Andersson, Magnus; Lomakka, Magnus - Sveriges Riksbank - 2003
This paper evaluates the precision of the parametric double lognormal (DLN) and the nonparametric smoothing spline method (SPLINE) for estimating risk-neutral distributions (RNDs) from observed option prices. By using a bootstrap technique confidence bands are estimated for the riskneutral...
Persistent link: https://www.econbiz.de/10005649035
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Essays in empirical finance
Andersson, Magnus - 2007
Persistent link: https://www.econbiz.de/10003738211
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Why does the correlation between stock and bond returns vary over time?
Andersson, Magnus - In: Applied financial economics 18 (2008) 1/3, pp. 139-151
Persistent link: https://www.econbiz.de/10003739018
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Using intraday data to gauge financial market responses to Federal Reserve and ECB monetary policy decisions
Andersson, Magnus - In: International journal of central banking : IJCB 6 (2010) 2, pp. 117-146
Persistent link: https://www.econbiz.de/10008651088
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Nine lessons from Poland
Andersson, Magnus - In: International environmental affairs : IEA ; a journal … 10 (1998) 1, pp. 3-7
Persistent link: https://www.econbiz.de/10001243596