Dynamic Semiparametric Factor Models in Pricing Kernels Estimation
Dynamic semiparametric factor models (DSFMs) smooth in time and space simultaneously, approximating complex dynamic structures by basis functions and a time series of loading coefficients. In this paper DSFMs are used to estimate in a time varying approach the term structure from state price densities and pricing kernels obtained from German option data.
KeywordsOption Price Term Structure Implied Volatility Excess Kurtosis Price Kernel
Unable to display preview. Download preview PDF.
- Borak, S., Härdle, W., Mammen, E., and Park, B.: Time series modelling with semiparametric factor dynamics. Discussion paper, SFB 649 -Humboldt-Universität zu Berlin, 2007 23 (2007).Google Scholar