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Parametric inference and dynamic state recovery from option panels

Andersen, Torben; Fusari, Nicola; Todorov, Viktor - In: Econometrica : journal of the Econometric Society, an … 83 (2015) 3, pp. 1081-1145

Persistent link: https://www.econbiz.de/10011378591

Optimal hedging with the cointegrated vector autoregressive model

Johansen, Søren; Gatarek, Lukasz - 2014

Persistent link: https://www.econbiz.de/10010418991

Parametric inference and dynamic state recovery from option panels

Andersen, Torben; Fusari, Nicola; Todorov, Viktor - 2012

Persistent link: https://www.econbiz.de/10009524097

Parametric inference and dynamic state recovery from option panels

Andersen, Torben; Fusari, Nicola; Todorov, Viktor - 2012

Persistent link: https://www.econbiz.de/10009539803

Parametric inference and dynamic state recovery from option panels

Andersen, Torben; Fusari, Nicola; Todorov, Viktor - 2012

Persistent link: https://www.econbiz.de/10010202343

Optimal hedging with the Vector Autoregressive model

Gatarek, Lukasz; Johansen, Søren - 2014

hedge ratio should overweight the cointegration parameters rather then short-run correlation information. In the innite …

Persistent link: https://www.econbiz.de/10010244526

Optimal hedging with the cointegrated vector autoregressive model

Gatarek, Lukasz; Johansen, Søren - 2014

Persistent link: https://www.econbiz.de/10010413752

Parametric Inference and Dynamic State Recovery from Option Panels

Andersen, Torben G. - 2012

We develop a new parametric estimation procedure for option panels observed with error which relies on asymptotic approximations assuming an ever increasing set of observed option prices in the moneyness- maturity (cross-sectional) dimension, but with a fixed time span. We develop consistent...

Persistent link: https://www.econbiz.de/10012460613

Parametric Inference and Dynamic State Recovery from Option Panels

Andersen, Torben G. - 2012

Persistent link: https://www.econbiz.de/10013107009