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

• scientific article; zbMATH DE number 469124 (Why is no real title available?)
• scientific article; zbMATH DE number 469335 (Why is no real title available?)
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• Semiparametric modeling of implied volatility.
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• Stochastic implied volatility. A factor-based model.
• Time series modelling with semiparametric factor dynamics

Cited in

(5)

• Dynamic semiparametric models for expected shortfall (and value-at-risk)
• A semiparametric factor model for CDO surfaces dynamics
• 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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