This paper studies the theoretical properties and implementation issues with the risk-neutral density (RND) estimator based on the mixture-of-lognormal (MLN) approach. First, we establish the consistency and asymptotic normality of the MLN method under the correct choice of mixtures and propose...

We analyze the construction of multivariate forecasting densities based on conditional models for each variable, given the other variables; a joint predictive density is obtained by iteratively simulating from the conditional models. This idea has been pursued in the context of missing data...