Narrow search
Showing 219,511 - 219,513 of 219,513
Cover Image
Empirical pricing kernels and investor preferences
Detlefsen, Kai; Härdle, Wolfgang Karl; Moro, Rouslan A. - 2007
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/10010275864
Cover Image
Learning machines supporting bankruptcy prediction
Härdle, Wolfgang Karl; Moro, Rouslan A.; Hoffmann, Linda - 2010
to one group and the rest to another group. Estimation of the probability of default (PD) values can be calculated from …
Persistent link: https://www.econbiz.de/10010275893
Cover Image
Numerics of implied binomial trees
Härdle, Wolfgang Karl; Myšičková, Alena - 2008
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/10010275907