SZodixStudyAcademic Library
ShelvesOpen access
Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated
A Bayesian approach to bandwidth selection for multivariate kernel regression with an application to state-price density estimation
16 references·2 citing·39 second hop
A Bayesian approach to bandwidth selection for multivariate kernel regression with an application to state-price density estimation (2009)A Bayesian approach to bandwidth selectio…Applied Quantitative Finance (2017)Applied Quantitative FinanceNonparametric state price density estimation using constrained least squares and the bootstrap (2005)Nonparametric state price den…Nonparametric Specification Testing for Continuous-Time Models with Applications to Term Structure of Interest Rates (2004)Nonparametric Specification T…Nonparametric option pricing under shape restrictions (2003)Nonparametric option pricing …Estimation of risk-neutral densities using positive convolution approximation (2003)Estimation of risk-neutral de…Simulated likelihood estimation of diffusions with an application to exchange rate dynamics in incomplete markets (2002)Simulated likelihood estimati…Option prices under Bayesian learning: implied volatility dynamics and predictive densities (2002)Option prices under Bayesian …Nonparametric risk management and implied risk aversion (2000)Nonparametric risk management…American options with stochastic dividends and volatility: A nonparametric investigation (2000)American options with stochas…Stochastic Volatility: Likelihood Inference and Comparison with ARCH Models (1998)Stochastic Volatility: Likeli…Nonparametric Estimation of State‐Price Densities Implicit in Financial Asset Prices (1998)Nonparametric Estimation of S…Pricing Mortgage-Backed Securities in a Multifactor Interest Rate Environment: A Multivariate Density Estimation Approach (1997)Pricing Mortgage-Backed Secur…A Nonparametric Model of Term Structure Dynamics and the Market Price of Interest Rate Risk (1997)A Nonparametric Model of Term…Testing Continuous-Time Models of the Spot Interest Rate (1996)Testing Continuous-Time Model…Theory of Rational Option Pricing (1973)Theory of Rational Option Pri…The Pricing of Options and Corporate Liabilities (1973)The Pricing of Options and Co…A data-driven framework for consistent financial valuation and risk measurement (2020)A data-driven framework for c…Returns to scale at large banks in the US: A random coefficient stochastic frontier approach (2013)Returns to scale at large ban…An equilibrium characterization of the term structure (1977)A Theory of the Term Structure of Interest Rates (1985)Common risk factors in the returns on stocks and bonds (1993)Estimating continuous-time stochastic volatility models of the short-term interest rate (1997)Efficient estimation of conditional variance functions in stochastic regression (1998)The Statistical and Economic Role of Jumps in Continuous‐Time Interest Rate Models (2004)The Cost of Capital, Corporation Finance and the Theory of Investment (1958)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)Theory of the firm: Managerial behavior, agency costs and ownership structure (1976)Theory of rational option pricing (2005)A Conditionally Heteroskedastic Time Series Model for Speculative Prices and Rates of Return (1987)Stochastic Simulation (1987)The Pricing of Options on Assets with Stochastic Volatilities (1987)Non-Gaussian Ornstein–Uhlenbeck-based Models and Some of Their Uses in Financial Economics (2001)Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models (2002)Power and Bipower Variation with Stochastic Volatility and Jumps (2004)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Optimal Filtering of Jump Diffusions: Extracting Latent States from Asset Prices (2009)Estimation of Dynamic Term Structure Models (2012)What Ties Return Volatilities to Price Valuations and Fundamentals? (2013)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)Recovering Risk Aversion from Option Prices and Realized Returns (2000)Do Stock Prices and Volatility Jump? Reconciling Evidence from Spot and Option Prices (2004)The Model-Free Implied Volatility and Its Information Content (2005)Specification Tests in Econometrics (1978)Maximum Likelihood Estimation of Discretely Sampled Diffusions: A Closed-form Approximation Approach (2002)Jumps in Financial Markets: A New Nonparametric Test and Jump Dynamics (2007)Empirical pricing kernels (2002)Option‐Implied Risk Aversion Estimates (2004)Information demand and stock market volatility (2012)The Econometrics of Financial Markets (2012)Do option markets correctly price the probabilities of movement of the underlying asset? (2001)Risk and Return in Fixed-Income Arbitrage: Nickels in Front of a Steamroller? (2006)Returns of claims on the upside and the viability of U-shaped pricing kernels☆ (2010)Copula goodness-of-fit testing: an overview and power comparison (2009)Bitcoin and global financial stress: A copula-based approach to dependence and causality in the quantiles (2018)The causal relationship between Bitcoin attention and Bitcoin returns: Evidence from the Copula-based Granger causality test (2018)Option pricing: A simplified approach (1979)
this work references cited by second hop

References

  • 1973The Pricing of Options and Corporate Liabilities29,064 cited
  • 1973Theory of Rational Option Pricing8,060 cited
  • 1998Stochastic Volatility: Likelihood Inference and Comparison with ARCH Models2,265 cited
  • 1998Nonparametric Estimation of State‐Price Densities Implicit in Financial Asset Prices1,060 cited
  • 1996Testing Continuous-Time Models of the Spot Interest Rate923 cited
  • 2000Nonparametric risk management and implied risk aversion740 cited
  • 1997A Nonparametric Model of Term Structure Dynamics and the Market Price of Interest Rate Risk548 cited
  • 2003Nonparametric option pricing under shape restrictions342 cited
  • 2004Nonparametric Specification Testing for Continuous-Time Models with Applications to Term Structure of Interest Rates311 cited
  • 2002Simulated likelihood estimation of diffusions with an application to exchange rate dynamics in incomplete markets275 cited
  • 2003Estimation of risk-neutral densities using positive convolution approximation119 cited
  • 1997Pricing Mortgage-Backed Securities in a Multifactor Interest Rate Environment: A Multivariate Density Estimation Approach110 cited
  • 2005Nonparametric state price density estimation using constrained least squares and the bootstrap96 cited
  • 2002Option prices under Bayesian learning: implied volatility dynamics and predictive densities

Only edges whose both ends are imported exist here. Widen the year window, or show the whole map. Back to the work

96 cited
  • 2017Applied Quantitative Finance93 cited
  • 2000American options with stochastic dividends and volatility: A nonparametric investigation83 cited
  • Cited by

    • 2013Returns to scale at large banks in the US: A random coefficient stochastic frontier approach44 cited
    • 2020A data-driven framework for consistent financial valuation and risk measurement28 cited