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Nonparametric Estimation of Daily State-Price Densities Using Transaction-Level Data on S&P500 Index Options
Maurer, Andrew - 2012
in economic theory, to our understanding of risk preferences. I estimate the state-price density nonparametrically using …
Persistent link: https://www.econbiz.de/10013100087
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Estimating state-price densities with nonparametric regression
Huynh, Kim; Kervella, Pierre; Zheng, Jun - 2002
Persistent link: https://www.econbiz.de/10009624851
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Option implied tail index and volatility based on heavy-tailed distributions : evidence from KOSPI 200 index options market
Kim, Joocheol; Kim, Hyun-Oh - In: Global economic review 43 (2014) 3, pp. 269-284
Persistent link: https://www.econbiz.de/10010509739
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Uncovering the distribution of option implied risk aversion
Kyriacou, Maria; Olmo, Jose; Strittmatter, Marius - In: Journal of mathematical finance 9 (2019) 2, pp. 81-104
Persistent link: https://www.econbiz.de/10012116675
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Improving score-driven density forecasts with an application to implied volatility surface dynamics
Zou, Xia; Lin, Yicong; Lucas, André - 2025
-Gaussian features to fit the data even better without complicating parameter estimation. We illustrate our findings using a factor model …
Persistent link: https://www.econbiz.de/10015408437
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A general volatility framework and the generalised historical volatility estimator
Bollen, Bernard - 1998
Persistent link: https://www.econbiz.de/10000995980
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A causality-in-variance test and its application to financial market prices
Cheung, Yin-Wong - In: Journal of econometrics 72 (1996) 1, pp. 33-48
Persistent link: https://www.econbiz.de/10001198033
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A time series approach to testing for market linkage : unit root and cointegration tests
Wang, George H. K. - In: The journal of futures markets 14 (1994) 4, pp. 457-474
Persistent link: https://www.econbiz.de/10001169791
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Three essays in international finance and financial economics
Hu, Xiaoqiang - 1994
Persistent link: https://www.econbiz.de/10000916084
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Derivatives and the price of risk
Bollen, Nicolas P. B. - In: The journal of futures markets 17 (1997) 7, pp. 839-854
Persistent link: https://www.econbiz.de/10001228456