A model-free, non-parametric method for density determination, with application to asset returns

DOI10.1016/J.PHYSA.2018.11.011OpenAlexW2900550554WikidataQ128989744 ScholiaQ128989744MaRDI QIDQ2156154FDOQ2156154

German Molina, Enrique ter Horst, Henryk Gzyl

Publication date: 15 July 2022

Published in: Physica A (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.physa.2018.11.011

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zbMATH Keywords

Laplace transformdensity estimationmaximum entropyfractional momentsreturnspercent error

Mathematics Subject Classification ID

Statistical mechanics, structure of matter (82-XX)

Cites Work

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• Multivariate Density Estimation
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• A bibliography on numerical inversion of the Laplace transform and applications
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• Transformations and Bayesian density estimation
• A bibliography on numerical inversion of the Laplace transform and applications: A supplement
• Fokker-Planck equation of distributions of financial returns and power laws
• Application of quantum master equation for long-term prognosis of asset-prices
• Superresolution in the maximum entropy approach to invert Laplace transforms
• Statistical Analysis of Financial Data in R
• Inferring probability densities from expert opinion

Cited In (1)

• CONDITIONAL DENSITY MODELS FOR ASSET PRICING

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