EconBiz - Find Economic Literature
    • Logout
    • Change account settings
  • A-Z
  • Beta
  • About EconBiz
  • News
  • Thesaurus (STW)
  • Academic Skills
  • Help
  •  My account 
    • Logout
    • Change account settings
  • Login
EconBiz - Find Economic Literature
Publications Events
Search options
Advanced Search history
My EconBiz
Favorites Loans Reservations Fines
    You are here:
  • Home
  • Search: subject:"Shape-constrained regression"
Narrow search

Narrow search

Year of publication
Subject
All
B-splines 2 Estimation theory 2 Nichtparametrisches Verfahren 2 No-arbitrage constraints 2 Nonparametric statistics 2 Option pricing function 2 Schätztheorie 2 Semi-nonparametric estimation 2 Shape-constrained regression 2 State-price density 2 Arbeitskampf 1 Arbitrage 1 Arbitrage Pricing 1 Arbitrage pricing 1 Concavity 1 Estimation 1 Industrial action 1 Option pricing theory 1 Optionspreistheorie 1 Regression analysis 1 Regressionsanalyse 1 Robust statistics 1 Robustes Verfahren 1 Schätzung 1 Time series analysis 1 Volatility 1 Volatilität 1 Zeitreihenanalyse 1 local polynomial smoothing 1 monotonicity 1 outlier detection 1 shape-constrained regression 1
more ... less ...
Online availability
All
Undetermined 2
Type of publication
All
Article 3
Type of publication (narrower categories)
All
Article in journal 2 Aufsatz in Zeitschrift 2
Language
All
English 2 Undetermined 1
Author
All
Fengler, Matthias R. 2 Hin, Lin-Yee 2 Chen, Yining 1 Torrent, Hudson S. 1 Ziegelmann, Flávio A. 1
Published in...
All
Econometric reviews 1 Journal of Econometrics 1 Journal of econometrics 1
Source
All
ECONIS (ZBW) 2 RePEc 1
Showing 1 - 3 of 3
Cover Image
Robust nonparametric frontier estimation in two steps
Chen, Yining; Torrent, Hudson S.; Ziegelmann, Flávio A. - In: Econometric reviews 42 (2023) 7, pp. 612-634
Persistent link: https://www.econbiz.de/10014321657
Saved in:
Cover Image
Semi-nonparametric estimation of the call-option price surface under strike and time-to-expiry no-arbitrage constraints
Fengler, Matthias R.; Hin, Lin-Yee - In: Journal of Econometrics 184 (2015) 2, pp. 242-261
We suggest a semi-nonparametric estimator for the call-option price surface. The estimator is a bivariate tensor-product B-spline. To enforce no-arbitrage constraints across strikes and expiry dates, we establish sufficient no-arbitrage conditions on the control net of the B-spline surface. The...
Persistent link: https://www.econbiz.de/10011117414
Saved in:
Cover Image
Semi-nonparametric estimation of the call-option price surface under strike and time-to-expiry no-arbitrage constraints
Fengler, Matthias R.; Hin, Lin-Yee - In: Journal of econometrics 184 (2015) 2, pp. 242-261
Persistent link: https://www.econbiz.de/10011339347
Saved in:
A service of the
zbw
  • Sitemap
  • Plain language
  • Accessibility
  • Contact us
  • Imprint
  • Privacy

Loading...