A Bayesian Time-Varying Approach to Risk Neutral Density Estimation

2015 ◽  
Author(s):  
Roberto Casarin ◽  
German Molina ◽  
Enrique ter Horst
Keyword(s):  
Density Estimation ◽  
Neutral Density ◽  
Time Varying ◽  
Risk Neutral ◽  
Risk Neutral Density

A Bayesian time varying approach to risk neutral density estimation

2018 ◽  
Vol 182 (1) ◽  
pp. 165-195 ◽  
Author(s):  
Roberto Casarin ◽  
German Molina ◽  
Enrique Horst
Keyword(s):  
Density Estimation ◽  
Neutral Density ◽  
Time Varying ◽  
Risk Neutral ◽  
Risk Neutral Density

scholarly journals Dynamic semiparametric factor models in risk neutral density estimation

2009 ◽  
Vol 93 (4) ◽  
pp. 387-402 ◽  
Author(s):  
Enzo Giacomini ◽  
Wolfgang Härdle ◽  
Volker Krätschmer
Keyword(s):  
Density Estimation ◽  
Factor Models ◽  
Neutral Density ◽  
Risk Neutral ◽  
Risk Neutral Density

Option Implied Risk-Neutral Density Estimation: A Robust and Flexible Method

2018 ◽  
Vol 54 (2) ◽  
pp. 705-728
Author(s):  
Arindam Kundu ◽  
Sumit Kumar ◽  
Nutan Kumar Tomar
Keyword(s):  
Density Estimation ◽  
Neutral Density ◽  
Risk Neutral ◽  
Risk Neutral Density

Risk-Neutral Density Estimation: Looking at the Tails

2019 ◽  
Vol 27 (3) ◽  
pp. 99-125
Author(s):  
Martin Reinke
Keyword(s):  
Density Estimation ◽  
Neutral Density ◽  
Risk Neutral ◽  
Risk Neutral Density

Shape constrained risk-neutral density estimation by support vector regression

2016 ◽  
Vol 333 ◽  
pp. 1-9 ◽  
Author(s):  
Pengbo Feng ◽  
Chuangyin Dang
Keyword(s):  
Support Vector Regression ◽  
Density Estimation ◽  
Support Vector ◽  
Neutral Density ◽  
Risk Neutral ◽  
Risk Neutral Density

scholarly journals Dynamic Semiparametric Factor Models in Risk Neutral Density Estimation

2008 ◽  
Author(s):  
Enzo Giacomini ◽  
Wolfgang K. HHrdle ◽  
Volker Kratschmer
Keyword(s):  
Density Estimation ◽  
Factor Models ◽  
Neutral Density ◽  
Risk Neutral ◽  
Risk Neutral Density

A Non-Structural Investigation of VIX Risk Neutral Density

2017 ◽  
Author(s):  
Andrea Barletta ◽  
Paolo Santucci de Magistris ◽  
Francesco Violante
Keyword(s):  
Structural Investigation ◽  
Neutral Density ◽  
Risk Neutral ◽  
Risk Neutral Density
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