We consider nonparametric estimation of a mixed discrete-continuous distribution under anisotropic smoothness conditions and possibly increasing number of support points for the discrete part of the distribution. For these settings, we derive lower bounds on the estimation rates in the total...

We show that disentangling sentiment-induced biases from fundamental expectations significantly improves the accuracy and consistency of probabilistic forecasts. Using data from 1994 to 2017, we analyze 15 stochastic models and risk-preference combinations and in all possible cases a simple...

This study proposes a new methodology with which the effectiveness of linear extrapolation (LE) of Jiang and Tian (2005) for the implied moment estimators of Bakshi et al. (2003) can be evaluated, even when the true moments are unknown. Using S&P 500 index options data and truncation sensitivity...

This paper combines a term structure model of credit default swaps (CDS) with weak-identification robust methods to jointly estimate the probability of default and the loss given default of the underlying firm. The model is not globally identified because it forgoes parametric time series...

This study examines the impact of truncation, i.e., the unavailability of extremely deep-out-of-the-money option quotes, on the model-free implied moment estimators of Bakshi et al. (2003) and suggests how truncation should be controlled for implied higher moment estimation. We show that...

We suggest a semi-nonparametric estimator for the entire call price surface based on a tensor-product B-spline. To enforce no-arbitrage constraints in strike and calendar dimensions we establish sufficient no-arbitrage conditions on the control net of the tensor product (TP) B-spline. Since...

In this paper, we propose a new non-parametric density estimator derived from the theory of frames and Riesz bases. In particular, we propose the so-called bi-orthogonal density estimator based on the class of B-splines, and derive its theoretical properties including the asymptotically optimal...

This paper studies the nonparametric identification and estimation of projected pricing kernels implicit in European option prices and underlying asset returns using conditional moment restrictions. The proposed series estimator avoids computing ratios of estimated risk-neutral and physical...

A common feature of financial time series is their strong persistence. Yet, long memory may just be the spurious effect of either structural breaks or slow switching regimes. So far, five testing procedures have been proposed to distinguish between true and spurious long memory. The tests are...