Similar Search Results

A quantitative mirror on the Euribor market using implied probability density functions

Vincent-Humphreys, Rupert de; Puigvert Gutiérrez, … - 2010

This paper presents a set of probability density functions for Euribor outturns in three months’ time, estimated from the prices of options on Euribor futures. It is the first official and freely available dataset to span the complete history of Euribor futures options, thus comprising over...

Persistent link: https://www.econbiz.de/10009640514

Option characteristics as cross-sectional predictors

Neuhierl, Andreas; Tang, Xiaoxiao; Varneskov, Rasmus … - 2022

We provide the first comprehensive analysis of option information for pricing the cross-section of stock returns by jointly examining extensive sets of firm and option characteristics. Using portfolio sorts and high-dimensional methods, we show that certain option measures have significant...

Persistent link: https://www.econbiz.de/10013286018

Let's get LADE: Robust estimation of semiparametric multiplicative volatility models

Koo, Bonsoo; Linton, Oliver - 2013

We investigate a model in which we connect slowly time varying unconditional long-run volatility with short-run conditional volatility whose representation is given as a semi-strong GARCH (1,1) process with heavy tailed errors. We focus on robust estimation of both long-run and short-run...

Persistent link: https://www.econbiz.de/10010318677

Random coefficients in static games of complete information

Dunker, Fabian; Hoderlein, Stefan; Kaido, Hiroaki - 2013

coefficient specification to capture this type of heterogeneity in behaviour, and discusses nonparametric identification and … estimation of the distribution of random coefficients. We establish nonparametric point identification of the joint distribution … markets. Moreover, we establish set identification of the density of the coefficients on the interaction effects, and provide …

Persistent link: https://www.econbiz.de/10010318707

Realized copula

Fengler, Matthias R.; Okhrin, Ostap - 2012

We introduce the notion of realized copula. Based on assumptions of the marginal distributions of daily stock returns and a copula family, realized copula is defined as the copula structure materialized in realized covariance estimated from within-day high-frequency data. Copula parameters are...

Persistent link: https://www.econbiz.de/10010318779

Efficient Derivative Pricing by Extended Method of Moments

Gagliardini, Patrick; Gourieroux, Christian; Renault, E - Institut für Schweizerisches Bankwesen <Zürich> - 2005

restrictions leads to an extension of the Generalized Method of Moments (GMM); indeed, GMM assumes that all restrictions are …

Persistent link: https://www.econbiz.de/10005858515

Efficient derivative pricing by the extended method of moments

Gagliardini, Patrick; Gouriéroux, Christian; Renault, Eric - 2010 - this version: October 2009

set of moment restrictions than the standard Generalized Method of Moments (GMM) estimator. More specifically, the XMM … differs from the GMM in that it can handle not only uniform conditional moment restrictions (i.e. valid for any value of the …

Persistent link: https://www.econbiz.de/10003973066

A quantitative mirror on the Euribor market using implied probability density functions

Vincent-Humphreys, Rupert de; Puigvert Gutiérrez, … - 2010

Persistent link: https://www.econbiz.de/10008901645

Nonparametric estimation of risk-neutral densities

Grith, Maria; Härdle, Wolfgang; Schienle, Melanie - 2010

This chapter deals with nonparametric estimation of the risk neutral density. We present three different approaches which do not require parametric functional assumptions on the underlying asset price dynamics nor on the distributional form of the risk neutral density. The first estimator is a...

Persistent link: https://www.econbiz.de/10003953034

Nonparametric instrumental variable estimators of structural quantile effects

Chernozhukov, Victor; Gagliardini, Patrick; Scaillet, … - 2008

We study the asymptotic distribution of Tikhonov Regularized estimation of quantile structural effects implied by a nonseparable model. The nonparametric instrumental variable estimator is based on a minimum distance principle. We show that the minimum distance problem without regularization is...

Persistent link: https://www.econbiz.de/10003961394