Dynamic semiparametric factor models in risk neutral density estimation

DOI10.1007/S10182-009-0115-4MaRDI QIDQ5962990zbMATH OpenOpenAlexFDO

Authors Enzo Giacomini, Wolfgang K. Härdle, Volker Krätschmer

Publication date 25 February 2016

Published in AStA. Advances in Statistical Analysis (Search for Journal in Brave)

Full work available at URL http://sfb649.wiwi.hu-berlin.de/papers/pdf/SFB649DP2008-038.pdf

zbMATH Keywords

dimension reductiondynamic factor modelsrisk neutral density

Mathematics Subject Classification ID

Density estimation (62G07) Applications of statistics to actuarial sciences and financial mathematics (62P05) Economic time series analysis (91B84)

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Cites work

• A control approach to robust utility maximization with logarithmic utility and time-consistent penalties
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• Common functional principal components
• scientific article; zbMATH DE number 469124 (Why is no real title available?)
• scientific article; zbMATH DE number 469335 (Why is no real title available?)
• Nonparametric estimation of common regressors for similar curve data
• Properties of principal component methods for functional and longitudinal data analysis
• Searching for Structure in Curve Sample
• Semiparametric modeling of implied volatility.
• Statistical tools to analyze data representing a sample of curves
• Stochastic implied volatility. A factor-based model.
• Time series modelling with semiparametric factor dynamics

Cited in

(5)

• Direct estimation of the risk neutral factor dynamics of Gaussian term structure models
• Dynamic semiparametric models for expected shortfall (and value-at-risk)
• Dynamic semi-parametric factor model for functional expectiles
• A semiparametric factor model for CDO surfaces dynamics
• Modelling spatio-temporal variability of temperature

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