Empirical asset pricing with functional factors
Year of publication: |
2023
|
---|---|
Authors: | Nadler, Philip ; Sancetta, Alessio |
Published in: |
Journal of financial econometrics. - Oxford : Oxford University Press, ISSN 1479-8417, ZDB-ID 2065613-0. - Vol. 21.2023, 4, p. 1258-1281
|
Subject: | bootstrap | functional data analysis | functional risk premium | implied volatility curve | Volatilität | Volatility | Risikoprämie | Risk premium | Bootstrap-Verfahren | Bootstrap approach | CAPM | Optionspreistheorie | Option pricing theory | Schätztheorie | Estimation theory | Schätzung | Estimation |
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