This paper introduces a new computational tool for the analysis of the risks embedded in a set of prices of European-style options. The software enables the estimation of the risk-neutral density (RND) from the observed option prices by means of orthogonal polynomial expansions. Orthogonal...

We propose a non-structural method to retrieve the risk-neutral density (RND) impliedby options on the CBOE Volatility Index (VIX). The methodology is based on orthogonalpolynomial expansions around a kernel density and yields the RND of the underlyingasset without the need for a parametric...

Multivariate GARCH models are in principle able to accommodate the features of the dynamic conditional covariances; nonetheless the interaction between model parametrization of the second conditional moment and the conditional density of asset returns adopted in the estimation determines the...

In this paper we study how monetary policy, economic uncertainty and economic policy uncertainty impact on the dynamics of gross capital inflows in the US. Particular attention is paid to the mixed frequency-nature of the economic time series involved in the analysis. A MIDAS-SVAR model is...