Forecasting with Option-Implied Information

Author:

Christoffersen Peter,Jacobs Kris,Chang Bo Young

Publisher

Elsevier

Reference201 articles.

1. Density functionals, with an option-pricing application;Abadir;Economic Theory,2003

2. Abken, P.A., Madan, D.B., Ramamurtie, S., 1996. Estimation of risk-neutral and statistical densities by hermite polynomial approximation: with an application to eurodollar futures options. Federal Reserve Bank of Atlanta, Working Paper.

3. Agarwal, V., Bakshi, G., Huij, J., 2009. Do higher-moment equity risks explain hedge fund returns? University of Maryland, Working Paper.

4. Nonparametric option pricing under shape restrictions;Aït-Sahalia;Journal of Econometrics,2003

5. Nonparametric estimation of state-price densities implicit in financial asset prices;Aït-Sahalia;Journal of Finance,1998

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