This file is part of IDEAS, which uses RePEc data


[ Papers | Articles | Software | Books | Chapters | Authors | Institutions | JEL Classification | NEP reports | Search | New papers by email | Author registration | Rankings | Volunteers | FAQ | Blog | Help! ]

Citations for "Nonparametric Risk Management and Implied Risk Aversion"

by Yacine Ait-Sahalia & Andrew W. Lo

For a complete description of this item, click here.
Cited by (explanations, Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.):
  1. Tim Bollerslev & Michael Gibson & Hao Zhou, 2007. "Dynamic Estimation of Volatility Risk Premia and Investor Risk Aversion from Option-Implied and Realized Volatilities," CREATES Research Papers 2007-16, School of Economics and Management, University of Aarhus. [Downloadable!]
    Other versions:
  2. Gee, C., 2007. "Risky Choice and Type-Uncertainty in "Deal or No Deal?"," Cambridge Working Papers in Economics 0758, Faculty of Economics, University of Cambridge. [Downloadable!]
  3. Yasuo Nishiyama, 2006. "The Asian Financial Crisis and Investors’ Risk Aversion," Asia-Pacific Financial Markets, Springer, vol. 13(3), pages 181-205, September. [Downloadable!] (restricted)
  4. David Backus & Mikhail Chernov & Ian Martin, 2009. "Disasters implied by equity index options," NBER Working Papers 15240, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    Other versions:
  5. Enzo Giacomini & Michael Handel & Wolfgang K. Härdle, 2006. "Time Dependent Relative Risk Aversion," SFB 649 Discussion Papers SFB649DP2006-020, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany. [Downloadable!]
  6. Araújo, Fabio & Issler, João Victor & Fernandes, Marcelo, 2005. "Estimating the Stochastic Discount Factor without a Utility Function," Economics Working Papers (Ensaios Economicos da EPGE) 583, Graduate School of Economics, Getulio Vargas Foundation (Brazil). [Downloadable!]
    Other versions:
  7. Alexis Derviz & Narcisa Kadlcáková, 2005. "Business cycle, credit risk and economic capital determination by commercial banks," BIS Papers chapters, in: Bank for International Settlements (ed.), Investigating the relationship between the financial and real economy, volume 22, pages 299-327 Bank for International Settlements. [Downloadable!]
  8. Michel Fliess & C\'edric Join, 2009. "A mathematical proof of the existence of trends in financial time series," Quantitative Finance Papers 0901.1945, arXiv.org. [Downloadable!]
  9. Xibin Zhang & Robert D. Brooks & Maxwell L. King, 2007. "A Bayesian approach to bandwidth selection for multivariate kernel regression with an application to state-price density estimation," Monash Econometrics and Business Statistics Working Papers 11/07, Monash University, Department of Econometrics and Business Statistics. [Downloadable!]
  10. Refet S. Gürkaynak & Justin Wolfers, 2005. "Macroeconomic Derivatives: An Initial Analysis of Market-Based Macro Forecasts, Uncertainty and Risk," IZA Discussion Papers 1899, Institute for the Study of Labor (IZA). [Downloadable!]
    Other versions:
  11. Yacine Ait-Sahalia & Jefferson Duarte, 2002. "Nonparametric Option Pricing under Shape Restrictions," NBER Working Papers 8944, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    Other versions:
  12. Rene Garcia & Richard Luger & Eric Renault, 2004. "Option Prices, Preferences, and State Variables," Emory Economics 0418, Department of Economics, Emory University (Atlanta). [Downloadable!]
  13. Vladislav Kargin, 2003. "Consistent Estimation of Pricing Kernels from Noisy Price Data," Quantitative Finance Papers math/0310223, arXiv.org. [Downloadable!]
  14. Joshua Rosenberg & Robert F. Engle, 2000. "Empirical Pricing Kernels," New York University, Leonard N. Stern School Finance Department Working Paper Seires 99-014, New York University, Leonard N. Stern School of Business-. [Downloadable!]
    Other versions:
  15. Vladislav Kargin, 2003. "Consistent Estimation of Pricing Kernels from Noisy Price Data," Finance 0311001, EconWPA. [Downloadable!]
  16. Guenter Franke & James Huang & Richard Stapleton, 2006. "Two-dimensional risk-neutral valuation relationships for the pricing of options," Review of Derivatives Research, Springer, vol. 9(3), pages 213-237, November. [Downloadable!] (restricted)
    Other versions:
  17. Günter Franke & Erik Lüders, 2004. "Why Do Asset Prices Not Follow Random Walks?," CoFE Discussion Paper 04-05, Center of Finance and Econometrics, University of Konstanz. [Downloadable!]
  18. Bertram Düring, 2009. "Asset pricing under information with stochastic volatility," Review of Derivatives Research, Springer, vol. 12(2), pages 141-167, July. [Downloadable!] (restricted)
    Other versions:
  19. Elyès Jouini & Clotilde Napp, 2003. "A class of models satisfying a dynamical version of the CAPM," Post-Print halshs-00167159_v1, HAL. [Downloadable!]
    Other versions:
  20. Günter Franke & Erik Lüders, 2005. "Return Predictability and Stock Market Crashes in a Simple Rational Expectations Model," CoFE Discussion Paper 05-05, Center of Finance and Econometrics, University of Konstanz. [Downloadable!]
  21. Jianqing Fan, 2004. "A selective overview of nonparametric methods in financial econometrics," Quantitative Finance Papers math/0411034, arXiv.org. [Downloadable!]
  22. Tak Siu & Howell Tong & Hailiang Yang, 2004. "On Bayesian Value at Risk: From Linear to Non-Linear Portfolios," Asia-Pacific Financial Markets, Springer, vol. 11(2), pages 161-184, June. [Downloadable!] (restricted)
  23. Tim Bollerslev & Viktor Todorov, 2009. "Tails, Fears and Risk Premia," CREATES Research Papers 2009-26, School of Economics and Management, University of Aarhus. [Downloadable!]
  24. Thomas Crossley & Hamish Low, 2005. "Unexploited connections between intra- and inter-temporal allocation," IFS Working Papers W05/25, Institute for Fiscal Studies. [Downloadable!]
    Other versions:
  25. Fabio Fornari & Antonio Mele, 2001. "Recovering the Probability Density Function of Asset Prices Using GARCH as Diffusion Approximations," Temi di discussione (Economic working papers) 396, Bank of Italy, Economic Research Department. [Downloadable!]
    Other versions:
  26. Kim, KiHyung, 2007. "The Investors’ Implied Sentiment : A Robust Measure of Risk Appetite," MPRA Paper 5714, University Library of Munich, Germany. [Downloadable!]
  27. Günter Franke & Erik Lüders, 2006. "Return Predictability and Stock Market Crashes in a Simple Rational Expectations Model¤," CoFE Discussion Paper 06-05, Center of Finance and Econometrics, University of Konstanz. [Downloadable!]
  28. W. Härdle & A. Yatchew, . "Dynamic Nonparametric State Price Density Estimation Using Constrained Least Squares and the Bootstrap," Sonderforschungsbereich 373 2002-16, Humboldt Universitaet Berlin.
  29. Jondeau, E. & Rockinger, M., 2002. "Asset Allocation in Transition Economies," Documents de Travail 90, Banque de France. [Downloadable!]
  30. Cizek, P. & Tamine, J. & Haerdle, W., 2006. "Smoothed L-estimation of regression function," Discussion Paper 20, Tilburg University, Center for Economic Research. [Downloadable!]
    Other versions:
  31. René Garcia & Eric Ghysels & Éric Renault, 2004. "The Econometrics of Option Pricing," CIRANO Working Papers 2004s-04, CIRANO. [Downloadable!]
  32. Tim Bollerslev & Hao Zhou, 2006. "Expected stock returns and variance risk premia," Finance and Economics Discussion Series 2007-11, Board of Governors of the Federal Reserve System (U.S.). [Downloadable!]
    Other versions:
  33. Fousseni Chabi-Yo & René Garcia & Eric Renault, 2005. "State Dependence in Fundamentals and Preferences Explains Risk-Aversion Puzzle," Working Papers 05-9, Bank of Canada. [Downloadable!]
  34. Thomas Busch, 2008. "Testing the martingale restriction for option implied densities," Review of Derivatives Research, Springer, vol. 11(1), pages 61-81, March. [Downloadable!] (restricted)
  35. Daniel Giamouridis, 2005. "Inferring option-implied investors' risk preferences," Applied Financial Economics, Taylor and Francis Journals, vol. 15(7), pages 479-488, April. [Downloadable!] (restricted)
  36. Chiaki Hara & James Huang & Christoph Kuzmics, 2006. "Representative Consumer’s Risk Aversion and Efficient Risk-Sharing Rules," KIER Working Papers 620, Kyoto University, Institute of Economic Research. [Downloadable!]
    Other versions:
  37. Jan Brůha & Alexis Derviz, 2006. "Macroeconomic Factors and the Balanced Value of the Czech Koruna/Euro Exchange Rate (in English)," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, vol. 56(7-8), pages 318-343, July. [Downloadable!]
  38. Robert R. Bliss & Nikolaos Panigirtzoglou, 2001. "Recovering risk aversion from options," Working Paper Series WP-01-15, Federal Reserve Bank of Chicago. [Downloadable!]
  39. Jens Carsten Jackwerth & George M. Constantinaides & Stylianos Perrakis, 2005. "Mispricing of S&P 500 Index Options," CoFE Discussion Paper 05-09, Center of Finance and Econometrics, University of Konstanz. [Downloadable!]
    Other versions:
  40. Sven Husmann & Andreas Stephan, 2006. "On Estimating an Asset's Implicit Beta," Discussion Papers of DIW Berlin 640, DIW Berlin, German Institute for Economic Research. [Downloadable!]
  41. Constantinides, George M. & Jackwerth, Jens Carsten & Perrakis, Stylianos, 2007. "Option Pricing: Real and Risk-Neutral Distributions," MPRA Paper 11637, University Library of Munich, Germany. [Downloadable!]
    Other versions:
  42. Francisco Alonso & Roberto Blanco & Gonzalo Rubio, 2006. "Option-implied preferences adjustments, density forecasts, and the equity risk premium," Banco de España Working Papers 0630, Banco de España. [Downloadable!]
  43. Sergio Pastorello & Valentin Patilea & Éric Renault, 2003. "Iterative and Recursive Estimation in Structural Non-Adaptive Models," CIRANO Working Papers 2003s-08, CIRANO. [Downloadable!]
  44. Ming Yuan, 2009. "State price density estimation via nonparametric mixtures," Quantitative Finance Papers 0910.1430, arXiv.org. [Downloadable!]
  45. Yuri Golubev & Wolfgang Härdle & Roman Timonfeev, 2008. "Testing Monotonicity of Pricing Kernels," SFB 649 Discussion Papers SFB649DP2008-001, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany. [Downloadable!]
  46. Dominique Guegan & Florian Ielpo, 2008. "Flexible time series models for subjective distribution estimation with monetary policy in view," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-00368356_v1, HAL. [Downloadable!]
    Other versions:
  47. Alexis Derviz, 2004. "Exchange rate risks and asset prices in a small open economy," Working Paper Series 314, European Central Bank. [Downloadable!]
  48. Thomas J. Flavin, 2006. "How Risk Averse are Fund Managers? Evidence from Irish Mutual Funds," Economics, Finance and Accounting Department Working Paper Series n1630206, Department of Economics, Finance and Accounting, National University of Ireland - Maynooth. [Downloadable!]
    Other versions:
  49. Tim Bollerslev & Natalia Sizova & George Tauchen, 2009. "Volatility in Equilibrium: Asymmetries and Dynamic Dependencies," CREATES Research Papers 2009-05, School of Economics and Management, University of Aarhus. [Downloadable!]
  50. Michel Fliess & Cédric Join, 2009. "A mathematical proof of the existence of trends in financial time series," Post-Print inria-00352834_v1, HAL. [Downloadable!]
  51. Gai, Prasanna & Vause, Nicholas, 2005. "Measuring Investors' Risk Appetite," MPRA Paper 818, University Library of Munich, Germany. [Downloadable!]
  52. Han, Bin, 2004. "Limits of Arbitrage, Sentiment and Pricing Kernal: Evidences from Index Options," Working Paper Series 2004-2, Ohio State University, Charles A. Dice Center for Research in Financial Economics. [Downloadable!]
  53. Steven A. Weinberg, 2001. "Interpreting the volatility smile: an examination of the information content of option prices," International Finance Discussion Papers 706, Board of Governors of the Federal Reserve System (U.S.). [Downloadable!]
  54. Joshua Rosenberg, 1999. "Empirical Tests of Interest Rate Model Pricing Kernels," New York University, Leonard N. Stern School Finance Department Working Paper Seires 99-015, New York University, Leonard N. Stern School of Business-. [Downloadable!]
  55. René Garcia & Richard Luger & Éric Renault, 2001. "Empirical Assessment of an Intertemporal Option Pricing Model with Latent Variables (Note : New version February 2002) / Empirical Assessment of an Intertemporal Option Pricing Model with Latent Varia," CIRANO Working Papers 2001s-02, CIRANO. [Downloadable!]
  56. Amadeo Alentorn & Sheri Markose, 2006. "Removing Maturity Effects of Implied Risk Neutral Densities and Related Statistics," Economics Discussion Papers 609, University of Essex, Department of Economics. [Downloadable!]
  57. Alexis Derviz & Narcisa Kadlcakova & Lucie Kobzova, 2003. "Credit Risk, Systemic Uncertainties and Economic Capital Requirements for an Artificial Bank Loan Portfolio," Working Papers 2003/09, Czech National Bank, Research Department. [Downloadable!]
  58. Marian Micu, 2005. "Extracting expectations from currency option prices: a comparison of methods," Computing in Economics and Finance 2005 226, Society for Computational Economics. [Downloadable!]
  59. Joshua Rosenberg, 2000. "Asset Pricing Puzzles: Evidence from Options Markets," New York University, Leonard N. Stern School Finance Department Working Paper Seires 99-025, New York University, Leonard N. Stern School of Business-. [Downloadable!]
  60. Jorge A. Chan-Lau, 2006. "Market-Based Estimation of Default Probabilities and Its Application to Financial Market Surveillance," IMF Working Papers 06/104, International Monetary Fund. [Downloadable!]
  61. Francisco Alonso & Roberto Blanco & Gonzalo Rubio, 2009. "Option-implied preferences adjustments, density forecasts, and the equity risk premium," Spanish Economic Review, Springer, vol. 11(2), pages 141-164, June. [Downloadable!] (restricted)
  62. Lüders, Erik & Lüders-Amann, Inge & Schröder, Michael, 2004. "The Power Law and Dividend Yields," ZEW Discussion Papers 04-51, ZEW - Zentrum für Europäische Wirtschaftsforschung / Center for European Economic Research. [Downloadable!]
  63. Prasanna Gai & Nicholas Vause, . "Measuring investors' risk appetite," Bank of England working papers 283, Bank of England. [Downloadable!]
  64. Günter Franke & Harris Schlesinger & Richard C. Stapleton, 2003. "Multiplicative Background Risk," CoFE Discussion Paper 03-05, Center of Finance and Econometrics, University of Konstanz. [Downloadable!]
Did you know? The yearly budget of IDEAS is exactly $0: it relies entirely on volunteer work.

This page was last updated on 2009-12-18.

This information is provided to you by IDEAS at the Department of Economics, College of Liberal Arts and Sciences, University of Connecticut using RePEc data on a server sponsored by the Society for Economic Dynamics.