Non-parametric and semi-parametric asset pricing
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- Peter Erdos & Mihaly Ormos & David Zibriczky, 2017. "Non-parametric and semi-parametric asset pricing," Papers 1703.09500, arXiv.org.
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- Mihály Ormos & Dusán Timotity, 2017. "Expected downside risk and asset prices: characteristics of emerging and developed European markets," Empirica, Springer;Austrian Institute for Economic Research;Austrian Economic Association, vol. 44(3), pages 529-546, August.
- Luz M. Gómez & Rogério F. Porto & Pedro A. Morettin, 2021. "Nonparametric regression with warped wavelets and strong mixing processes," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 73(6), pages 1203-1228, December.
- Mihály Ormos & Dávid Zibriczky, 2014.
"Entropy-Based Financial Asset Pricing,"
PLOS ONE, Public Library of Science, vol. 9(12), pages 1-21, December.
- Mihaly Ormos & David Zibriczky, 2015. "Entropy-Based Financial Asset Pricing," Papers 1501.01155, arXiv.org.
- Gómez-González, José Eduardo & Sanabria-Buenaventura, Elioth Mirsha, 2014.
"Non-parametric and semi-parametric asset pricing: An application to the Colombian stock exchange,"
Economic Systems, Elsevier, vol. 38(2), pages 261-268.
- José Eduardo Gómez-González & Elioth Mirsha Sanabria-Buenaventura, 2012. "Non-Parametric and Semi-Parametric Asset Pricing: An Application to the Colombian Stock Exchange," Borradores de Economia 697, Banco de la Republica de Colombia.
- José Eduardo Gómez-González & Elioth Mirsha Sanabria-Buenaventura, 2012. "Non-Parametric and Semi-Parametric Asset Pricing: An Application to the Colombian Stock Exchange," Borradores de Economia 9384, Banco de la Republica.
- Ormos, Mihály & Timotity, Dusán, 2016.
"Generalized asset pricing: Expected Downside Risk-based equilibrium modeling,"
Economic Modelling, Elsevier, vol. 52(PB), pages 967-980.
- Mihaly Ormos & Dusan Timotity, 2015. "Generalized asset pricing: Expected Downside Risk-Based Equilibrium Modelling," Papers 1512.01806, arXiv.org.
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Keywords
Asset pricing Kernel regression Risk measures Semi-parametric models Non-parametric models;Statistics
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