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Statistics of risk aversion

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  • Giacomini, Enzo
  • Härdle, Wolfgang Karl

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  • Giacomini, Enzo & Härdle, Wolfgang Karl, 2007. "Statistics of risk aversion," SFB 649 Discussion Papers 2007-025, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
    • Handle: RePEc:zbw:sfb649:sfb649dp2007-025
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    References listed on IDEAS

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    1. Ait-Sahalia, Yacine & Lo, Andrew W., 2000. "Nonparametric risk management and implied risk aversion," Journal of Econometrics, Elsevier, vol. 94(1-2), pages 9-51.
    2. Matthias R. Fengler & Wolfgang K. Härdle & Enno Mammen, 0. "A semiparametric factor model for implied volatility surface dynamics," Journal of Financial Econometrics, Oxford University Press, vol. 5(2), pages 189-218.
    3. Fengler, Matthias R. & Härdle, Wolfgang & Mammen, Enno, 2003. "Implied volatility string dynamics," SFB 373 Discussion Papers 2003,54, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
    4. Borak, Szymon & Härdle, Wolfgang Karl & Mammen, Enno & Park, Byeong U., 2007. "Time series modelling with semiparametric factor dynamics," SFB 649 Discussion Papers 2007-023, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
    5. Park, Byeong U. & Mammen, Enno & Härdle, Wolfgang & Borak, Szymon, 2009. "Time Series Modelling With Semiparametric Factor Dynamics," Journal of the American Statistical Association, American Statistical Association, vol. 104(485), pages 284-298.
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    Cited by:

    1. repec:hum:wpaper:sfb649dp2008-001 is not listed on IDEAS
    2. repec:hum:wpaper:sfb649dp2007-060 is not listed on IDEAS
    3. Perederiy, Volodymyr, 2007. "Kombinierte Liquiditäts- und Solvenzkennzahlen und ein darauf basierendes Insolvenzprognosemodell für deutsche GmbHs," SFB 649 Discussion Papers 2007-060, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
    4. Golubev, Yuri & Härdle, Wolfgang Karl & Timofeev, Roman, 2008. "Testing monotonicity of pricing Kernels," SFB 649 Discussion Papers 2008-001, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.

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    More about this item

    JEL classification:

    • C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
    • G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing

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