Please use this identifier to cite or link to this item:
https://hdl.handle.net/10316/87034
DC Field | Value | Language |
---|---|---|
dc.contributor.author | Monteiro, Ana Margarida Machado | - |
dc.contributor.author | Santos, António Alberto Ferreira | - |
dc.date.accessioned | 2019-05-24T13:32:36Z | - |
dc.date.available | 2019-05-24T13:32:36Z | - |
dc.date.issued | 2019-02-28 | - |
dc.identifier.uri | https://hdl.handle.net/10316/87034 | - |
dc.description.abstract | A new approach is considered to estimate risk-neutral densities (RND) within a kernel regression framework, through local cubic polynomial estimation using intraday data. There is a new strategy for the definition of a criterion function used in nonparametric regression that includes calls, puts, and weights in the optimization problem associated with parameters estimation. No-arbitrage restrictions are incorporated in the problem through equality and bound constraints. This yields directly density functions of interest with minimum requirements needed. Within a simulation framework, it is demonstrated the robustness of proposed procedures. Additionally, RNDs are estimated through option prices associated with two indices, S&P500 and VIX. | pt |
dc.language.iso | eng | pt |
dc.relation.ispartofseries | CeBeR Working Paper 2019-02;; | - |
dc.rights | openAccess | pt |
dc.subject | kernel functions, Local polynomials, No-arbitrage constraints, Option prices, Risk-neutral density | pt |
dc.title | Kernel density estimation using local cubic polynomials through option prices applied to intraday data | pt |
dc.type | article | - |
dc.peerreviewed | yes | pt |
dc.date.embargo | 2019-02-28 | * |
uc.date.periodoEmbargo | 0 | pt |
uc.controloAutoridade | Sim | - |
item.openairetype | article | - |
item.fulltext | Com Texto completo | - |
item.languageiso639-1 | en | - |
item.grantfulltext | open | - |
item.cerifentitytype | Publications | - |
item.openairecristype | http://purl.org/coar/resource_type/c_18cf | - |
crisitem.author.researchunit | Group for Monetary and Financial Studies | - |
crisitem.author.researchunit | CeBER – Centre for Business and Economics Research | - |
crisitem.author.researchunit | CeBER – Centre for Business and Economics Research | - |
crisitem.author.orcid | 0000-0003-3433-1695 | - |
Appears in Collections: | I&D CeBER - Working Papers |
Files in This Item:
File | Description | Size | Format | |
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Working Paper.pdf | 1.45 MB | Adobe PDF | View/Open |
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