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Dynamic selection of Gram-Charlier expansions with risk targets : an application to cryptocurrencies

Jiménez, Inés; Mora-Valencia, Andrés; Perote, Javier - In: Risk management : an international journal 24 (2022) 1, pp. 81-99

Persistent link: https://www.econbiz.de/10013163633

Retrieving the implicit risk neutral density of WTI options with a semi-nonparametric approach

Cortés, Lina M.; Mora-Valencia, Andrés; Perote, Javier - In: The North American journal of economics and finance : a … 54 (2020), pp. 1-15

Persistent link: https://www.econbiz.de/10012666975

Multivariate Gram-Charlier densities

Brio González, Esther B. del; Ñíguez, Trino-Manuel; … - 2008

Persistent link: https://www.econbiz.de/10003827531

Forecasting heavy-tailed densities with positive Edgeworth and Gram-Charlier expansions

Ñíguez, Trino-Manuel; Perote, Javier - In: Oxford bulletin of economics and statistics 74 (2012) 4, pp. 600-627

Persistent link: https://www.econbiz.de/10010219893

Moments expansion densities for quantifying financial risk

Ñíguez, Trino-Manuel; Perote, Javier - In: The North American journal of economics and finance : a … 42 (2017), pp. 53-69

Persistent link: https://www.econbiz.de/10011938073

Multivariate moments expansion density : application of the dynamic equicorrelation model

Ñíguez, Trino-Manuel; Perote, Javier - In: Journal of banking & finance 72 (2016), pp. 216-232

Persistent link: https://www.econbiz.de/10011637138

Multivariate moments expansion density : application of the dynamic equicorrelation model

Ñíguez, Trino-Manuel; Perote, Javier - 2016

Persistent link: https://www.econbiz.de/10011799240

The impact of economic policy uncertainty and monetary policy on R&D investment : an option pricing approach

Horra, Luis P. de la; Perote, Javier; Fuente, Gabriel de - In: Economics letters 214 (2022), pp. 1-4

Persistent link: https://www.econbiz.de/10013448064

Implicit Probability Distribution for WTI Options : The Black Scholes vs. The Semi-Nonparametric Approach

Cortes, Lina - 2018

This paper contributes to the literature on the estimation of the Risk Neutral Density (RND) function by modeling the prices of options for West Texas Intermediate (WTI) crude oil that were traded in the period between January 2016 and January 2017. For these series we extract the implicit RND...

Persistent link: https://www.econbiz.de/10012929493

Implicit Probability Distribution for WTI Options : The Black Scholes vs. The Semi-Nonparametric Approach

Cortes, Lina - 2018

Persistent link: https://www.econbiz.de/10012916076