Global ETD Search
Search theses and dissertations gathered from participating repositories worldwide. Every result links back to the library that holds it. No account is needed.
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Showing 1 to 4 of 4 for “"State-Price Density"”.
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Level Dependence in Volatility in Linear-Rational Term Structure Models
… likelihood. An extended specification for the state price density process is required to ensure reliable parameter estimates. The empirical analysis indicates that the LRSQ model generally overestimates level dependence. Although the CEV specification captures the degree of level dependence in …
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Essays on Nonparametric Estimation of Asset Pricing Models
… the empirical behaviour of financial asset prices with theoretical valuation models. The confrontation of economic theory with asset price data requires various functional form assumptions about the preferences and beliefs of investors. Nonparametric methods provide a flexible class of …
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Essays on the Econometrics of Option Prices
… on parameters that can be identified from option prices. The techniques in question extend the existing literature in financial econometrics along several directions.</p><p>The first essay considers the problem of estimating and conducting inference on the term structures of a class of …
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Essays in International Finance and the Global Financial Crisis
… a unique data set of overnight currency option prices, I study the reaction of the entire state price density to both anticipated and recently occurring macroeconomic news releases for both US and foreign announcements. I then use intraday data to compare the behavior of the physical pdf around …