We build on Fackler and King (1990) and propose a general calibration model for implied risk neutral densities. Our model allows for the joint calibration of a set of densities at different maturities and dates. The model is a Bayesian dynamic beta Markov random field which allows for possible...

The ability of some neural nets to predict the direction of the Mexican economy -represented by its LEI (Leading Economic Indicators/Index) - when taking as inputs the simultaneous versions (smoothing and predictive) of a Gaussian Process fed with a Stock Index and a Bonds Index representing the...