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Non-parametric Tests for the Martingale Restriction: A New Approach
Guo, Biao; Han, Qian; Ryu, Doojin - 2013
differences between the option-implied and market observed prices. Our results strongly suggest that there exist arbitrage …
Persistent link: https://www.econbiz.de/10010892140
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Nonparametric instrumental variable estimation of quantile structural effects
Chernozhukov, V.; Gagliardini, P.; Scaillet, O. - Institut für Schweizerisches Bankwesen <Zürich> - 2008
We study Tikhonov Regularized estimation of quantile structural effects implied by a nonseparable model. The nonparametric instrumental variable estimator is based on a minimum distance principle. We show that the minimum distance problem without regularization is locally ill-posed, and consider...
Persistent link: https://www.econbiz.de/10005857742
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A SPECIFICATION TEST FOR NONPARAMETRIC INSTRUMENTAL VARIABLE REGRESSION
Gagliardini, P.; Scaille, O. - Institut für Schweizerisches Bankwesen <Zürich> - 2007
We consider testing for correct specification of a nonparametric instrumental variable regression. In this ill-posed inverse problem setting, the test statistic is based on the empirical minimum distance criterion corresponding to the conditional moment restriction evaluated with a Tikhonov...
Persistent link: https://www.econbiz.de/10005858205
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Option Pricing with Aggregation of Physical Models and Nonparametric Statistical Learning
Fan, Jianqing; Mancini, Loriano - Institut für Schweizerisches Bankwesen <Zürich> - 2007
Financial models are largely used in option pricing. These physical models capture several salient features of asset price dynamics. The pricing performance can be significantly enhanced when they are combined with nonparametric learning approaches, that empirically learn and correct pricing...
Persistent link: https://www.econbiz.de/10005858326
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Anticipatory effects in the FTSE 100 index revisions
Fernandes, Marcelo; Mergulhão, João - 2015
This paper examines the price impact of trading due to expected changes in the FTSE 100 index composition, which employs publicly-known objective criteria to determine membership. Hence, it provides a natural context to investigate anticipatory trading effects. We propose a panel-regression...
Persistent link: https://www.econbiz.de/10011460780
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Efficient Derivative Pricing by Extended Method of Moments
Gagliardini, Patrick; Gourieroux, Christian; Renault, E - Institut für Schweizerisches Bankwesen <Zürich> - 2005
estimating a conditional moment of interest and prove the asymptotic efficiency of XMM. To avoid misleading arbitrage …
Persistent link: https://www.econbiz.de/10005858515
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Risk, return, and volatility feedback: A Bayesian nonparametric analysis
Jensen, Mark J.; Maheu, John M. - 2014
The relationship between risk and return is one of the most studied topics in finance. The majority of the literature is based on a linear, parametric relationship between expected returns and conditional volatility. This paper models the contemporaneous relationship between market excess...
Persistent link: https://www.econbiz.de/10010397700
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Limits to Arbitrage when Market Participation Is Restricted
Hens, Thorsten; Heringsy, Jean-Jacques; … - Institut für Schweizerisches Bankwesen <Zürich>; … - 2003
There is an extensive literature claiming that it is often difficultto make use of arbitrage opportunities in financial … markets. Thispaper provides a new reason why existing arbitrage opportunitiesmight not be seized. We consider a world with … short-lived securities,no short-selling constraints and no transaction costs. We show thatto exploit all existing arbitrage …
Persistent link: https://www.econbiz.de/10005858363
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Option Pricing by Mathematical Programming
Flåm, Sjur - 2007
here that integrality constraints can often be relaxed. In fact, simple mathematical programming, aimed at arbitrage or …
Persistent link: https://www.econbiz.de/10013208513
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Arbitrage and Optimal Portfolio Choice with Financial Constraints
Elsinger, Helmut; Summer, Martin - 2001
, portfolio constraints can lead to situations where not all arbitrage opportunities are necessarily eliminated in equilibrium …. For a world with portfolio constraints the concept of no arbitrage has to be replaced by a weaker concept which we call no … unlimited arbitrage. Second, though we can characterize prices which allow no unlimited arbitrage by the existence of certain …
Persistent link: https://www.econbiz.de/10013369966