Jeroen Dalderop
Personal Details
First Name: | Jeroen |
Middle Name: | |
Last Name: | Dalderop |
Suffix: | |
RePEc Short-ID: | pda863 |
[This author has chosen not to make the email address public] | |
http://jeroendalderop.com | |
Affiliation
Department of Economics
University of Notre Dame
South Bend, Indiana (United States)http://economics.nd.edu/
RePEc:edi:deendus (more details at EDIRC)
Research output
Jump to: Working papers ArticlesWorking papers
- Dalderop, J. & Linton, O. B., 2024. "Estimating a Density Ratio Model for Stock Market Risk and Option Demand," Cambridge Working Papers in Economics 2411, Faculty of Economics, University of Cambridge.
Articles
- Dalderop, Jeroen, 2023. "Semiparametric estimation of latent variable asset pricing models," Journal of Econometrics, Elsevier, vol. 236(1).
- Dalderop, Jeroen, 2020. "Nonparametric filtering of conditional state-price densities," Journal of Econometrics, Elsevier, vol. 214(2), pages 295-325.
Citations
Many of the citations below have been collected in an experimental project, CitEc, where a more detailed citation analysis can be found. These are citations from works listed in RePEc that could be analyzed mechanically. So far, only a minority of all works could be analyzed. See under "Corrections" how you can help improve the citation analysis.Working papers
-
Sorry, no citations of working papers recorded.
Articles
- Dalderop, Jeroen, 2020.
"Nonparametric filtering of conditional state-price densities,"
Journal of Econometrics, Elsevier, vol. 214(2), pages 295-325.
Cited by:
- Evgenii Vladimirov, 2023. "iCOS: Option-Implied COS Method," Papers 2309.00943, arXiv.org, revised Feb 2024.
- Ana M. Monteiro & António A. F. Santos, 2022. "Option prices for risk‐neutral density estimation using nonparametric methods through big data and large‐scale problems," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 42(1), pages 152-171, January.
- Ana M. Monteiro & Antonio A. F. Santos, 2020. "Conditional risk-neutral density from option prices by local polynomial kernel smoothing with no-arbitrage constraints," Review of Derivatives Research, Springer, vol. 23(1), pages 41-61, April.
More information
Research fields, statistics, top rankings, if available.Statistics
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NEP Fields
NEP is an announcement service for new working papers, with a weekly report in each of many fields. This author has had 1 paper announced in NEP. These are the fields, ordered by number of announcements, along with their dates. If the author is listed in the directory of specialists for this field, a link is also provided.- NEP-ECM: Econometrics (1) 2024-04-08. Author is listed
- NEP-FMK: Financial Markets (1) 2024-04-08. Author is listed
- NEP-MAC: Macroeconomics (1) 2024-04-08. Author is listed
- NEP-RMG: Risk Management (1) 2024-04-08. Author is listed
Corrections
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