In this paper we expand the literature of risk neutral density estimation across maturities from implied volatility curves, usually estimated and interpolated through cubic smoothing splines. The risk neutral densities are computed through the second derivative as in Panigirtzoglou and...

We build on Fackler and King (1990) and propose a general calibration model for implied risk neutral densities. Our model allows for the joint calibration of a set of densities at different maturities and dates. The model is a Bayesian dynamic beta Markov random field which allows for possible...

We build on Fackler and King (1990) and propose a general calibration model for implied risk neutral densities. Our model allows for the joint calibration of a set of densities at different maturities and dates. The model is a Bayesian dynamic beta Markov random field which allows for possible...

We define a dynamic and self-adjusting mixture of Gaussian Graphical Models to cluster financial returns, and provide a new method for extraction of nonparametric estimates of dynamic alphas (excess return) and betas (to a choice set of explanatory factors) in a multivariate setting. This...

Hedonic pricing models are based on the premise that the prices of marketed goods are related to their attributes. The traditional OLS regression applied to hedonic pricing models assumes that, when using time series, the estimated coefficients with respect to each of the attributes remain...

The study of customer experience (CX) has become a prominent topic in marketing research lately because of the evolution of the customer/company relationship. The total number of touch points where this interaction can take place has increased significantly due to the total number of channels...