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Dynamic Semiparametric Factor Models in Risk Neutral Density Estimation
Giacomini, Enzo - 2017
Dimension reduction techniques for functional data analysis model and approximate smooth random functions by lower dimensional objects. In many applications the focus of interest lies not only in dimension reduction but also in the dynamic behaviour of the lower dimensional objects. The most...
Persistent link: https://www.econbiz.de/10012966268
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Numerics of Implied Binomial Trees
Härdle, Wolfgang K. - 2017
with the estimation from the simulated process, though the BC method shows smaller deviations in case of high interest rate …
Persistent link: https://www.econbiz.de/10012966270
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Estimation and Testing for Varying Coefficients in Additive Models with Marginal Integration
Yang, Lijian - 2017
We propose marginal integration estimation and testing methods for the coefficients of varying coefficient multivariate … regression model. Asymptotic distribution theory is developed for the estimation method which enjoys the same rate of convergence … as univariate function estimation. For the test statistic, asymptotic normal theory is established. These theoretical …
Persistent link: https://www.econbiz.de/10012966219
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Time Varying Hierarchical Archimedean Copulae
Härdle, Wolfgang K. - 2017
-Gaussian dependency structures with a small number of parameters. In this paper we develop a novel adaptive estimation technique of the …
Persistent link: https://www.econbiz.de/10012966304
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State Price Densities Implied from Weather Derivatives
Härdle, Wolfgang K. - 2016
illiquidity issue. One faces the problem in estimation by e.g. kernel techniques that there are not enough observations locally …
Persistent link: https://www.econbiz.de/10012992818
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Media-Expressed Tone, Option Characteristics, and Stock Return Predictability
Chen, Cathy Yi‐Hsuan - 2020
We distill tone from a huge assortment of NASDAQ articles to examine the predictive power of media-expressed tone in single-stock option markets and equity markets. We find that (1) option markets are impacted by media tone; (2) option variables predict stock returns along with tone; (3) option...
Persistent link: https://www.econbiz.de/10012827650
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Empirical Pricing Kernels and Investor Preferences
Detlefsen, Kai - 2017
This paper analyzes empirical market utility functions and pricing kernels derived from the DAX and DAX option data for three market regimes. A consistent parametric framework of stochastic volatility is used. All empirical market utility functions show a region of risk proclivity that is...
Persistent link: https://www.econbiz.de/10012966248
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Calibration Risk for Exotic Options
Detlefsen, Kai - 2017
Option pricing models are calibrated to market data of plain vanillas by minimization of an error functional. From the economic viewpoint, there are several possibilities to measure the error between the market and the model. These different specifications of the error give rise to different...
Persistent link: https://www.econbiz.de/10012966222
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Pricing Kernel Modeling
Belomestny, Denis - 2015
through one-step penalized least squares estimation with the Kullback-Leibler divergence as the penalty function. Asymptotic …
Persistent link: https://www.econbiz.de/10013019425
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A Dynamic Semiparametric Factor Model for Implied Volatility String Dynamics
Fengler, Matthias R. - 2017
A primary goal in modelling the implied volatility surface (IVS) for pricing and hedging aims at reducing complexity. For this purpose one fits the IVS each day and applies a principal component analysis using a functional norm. This approach, however, neglects the degenerated string structure...
Persistent link: https://www.econbiz.de/10012966204