Dynamic semiparametric factor models in risk neutral density estimation

DOI10.1007/S10182-009-0115-4zbMATH Open1331.62216OpenAlexW2110686789MaRDI QIDQ5962990FDOQ5962990

Volker Krätschmer, Enzo Giacomini, Wolfgang K. Härdle

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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Cited In (4)

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

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