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Pricing Kernel Modeling
Belomestny, Denis; Ma, Shujie; Härdle, Wolfgang Karl - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2015
We propose a new method to estimate the empirical pricing kernel based on option data. We estimate the pricing kernel nonparametrically by using the ratio of the risk-neutral density estimator and the subjective density estimator. The risk-neutral density is approximated by a weighted kernel...
Persistent link: https://www.econbiz.de/10011115466
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Pricing kernel modeling
Belomestny, Denis; Ma, Shujie; Härdle, Wolfgang Karl - 2014
We propose a new method to estimate the empirical pricing kernel based on option data. We estimate the pricing kernel nonparametrically by using the ratio of the risk-neutral density estimator and the subjective density estimator. The risk-neutral density is approximated by a weighted kernel...
Persistent link: https://www.econbiz.de/10010491441
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Pricing kernel modeling
Belomestny, Denis; Ma, Shujie; Härdle, Wolfgang - 2015
We propose a new method to estimate the empirical pricing kernel based on option data. We estimate the pricing kernel nonparametrically by using the ratio of the risk-neutral density estimator and the subjective density estimator. The risk-neutral density is approximated by a weighted kernel...
Persistent link: https://www.econbiz.de/10010462645
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The systemic risk of central SIFIs
Chen, Cathy Yi-Hsuan; Nasekin, Sergey - 2017
Systemic risk quantification in the current literature is concentrated on market-based methods such as CoVaR(Adrian and Brunnermeier (2016)). Although it is easily implemented, the interactions among the variables of interest and their joint distribution are less addressed. To quantify systemic...
Persistent link: https://www.econbiz.de/10011710562
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Nonparametric estimates for conditional quantiles of time series
Franke, Jürgen E.; Mwita, Peter; Wang, Weining - 2014
We consider the problem of estimating the conditional quantile of a time series fYtg at time t given covariates Xt, where Xt can ei- ther exogenous variables or lagged variables of Yt . The conditional quantile is estimated by inverting a kernel estimate of the conditional distribution function,...
Persistent link: https://www.econbiz.de/10010238365
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TEDAS - Tail Event Driven ASset Allocation
Härdle, Wolfgang; Nasekin, Sergey; Lee, David Kuo Chuen; … - 2014
Portfolio selection and risk management are very actively studied topics in quantitative finance and applied statistics. They are closely related to the dependency structure of portfolio assets or risk factors. The correlation structure across assets and opposite tail movements are essential to...
Persistent link: https://www.econbiz.de/10010365113
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Quantile forecast optimal combination to enhance safety stock estimation
Trapero, Juan R.; Cardós, Manuel; Kourentzes, Nikolaos - In: International journal of forecasting 35 (2019) 1, pp. 239-250
Persistent link: https://www.econbiz.de/10012300607
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Selection Criteria in Regime Switching Conditional Volatility Models
Chuffart, Thomas - In: Econometrics 3 (2015) 2, pp. 289-316
Smooth Transition GARCH and the Markov-Switching GARCH models. Simulation experiments reveal that information criteria and …
Persistent link: https://www.econbiz.de/10011276476
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A supreme test for periodic explosive GARCH
Richter, Stefan; Wang, Weining; Wu, Wei Biao - 2020
We develop a uniform test for detecting and dating explosive behavior of a strictly stationary GARCH(r, s) (generalized … autoregressive conditional heteroskedasticity) process. Namely, we test the null hypothesis of a globally stable GARCH process with … GARCH process. Technically, the existing properties for the QMLE in the GARCH model need to be reinvestigated to hold …
Persistent link: https://www.econbiz.de/10012433262
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Linear-time accurate lattice algorithms for tail conditional expectation
Chen, Bryant; Hsu, William W.Y.; Ho, Jan-Ming; Kao, … - In: Algorithmic Finance 3 (2014) 1-2, pp. 87-140
This paper proposes novel lattice algorithms to compute tail conditional expectation of European calls and puts in linear time. We incorporate the technique of prefix-sum into tilting, trinomial, and extrapolation algorithms as well as some syntheses of these algorithms. Furthermore, we...
Persistent link: https://www.econbiz.de/10010840417