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Parametric Inference and Dynamic State Recovery from Option Panels
Andersen, Torben G.; Fusari, Nicola; Todorov, Viktor - School of Economics and Management, University of Aarhus - 2011
stability of the risk-neutral dynamics over a given period of time. A large-scale Monte Carlo study indicates that the inference …
Persistent link: https://www.econbiz.de/10010851195
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Parametric Inference and Dynamic State Recovery from Option Panels
Andersen, Torben G.; Fusari, Nicola; Todorov, Viktor - Institute of Economic Research, Hitotsubashi University - 2012
inference procedures work well for empirically realistic model specifications and sample sizes. In an empirical application to S …
Persistent link: https://www.econbiz.de/10010614050
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Parametric inference and dynamic state recovery from option panels
Andersen, Torben; Fusari, Nicola; Todorov, Viktor - In: Econometrica : journal of the Econometric Society, an … 83 (2015) 3, pp. 1081-1145
Persistent link: https://www.econbiz.de/10011378591
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Unified inference for nonlinear factor models from panels with fixed and large time span
Andersen, Torben; Fusari, Nicola; Todorov, Viktor; … - In: Journal of econometrics 212 (2019) 1, pp. 4-25
Persistent link: https://www.econbiz.de/10012303860