Dynamic semiparametric factor models in risk neutral density estimation

Enzo Giacomini, Wolfgang Härdle and Volker Krätschmer

AStA Advances in Statistical Analysis, 2009, vol. 93, issue 4, 387-402

Keywords: Dynamic factor models; Dimension reduction; Risk neutral density (search for similar items in EconPapers)
Date: 2009
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DOI: 10.1007/s10182-009-0115-4

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