Enrique ter Horst

Colegio de Estudios Superiores de Administracion

Professor

Cra 6 # 34-51

Bogota, 00000

Colombia

SCHOLARLY PAPERS

7

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in Total Papers Downloads

1,648

CITATIONS

1

Scholarly Papers (7)

1.

The GARCH Structural Credit Risk Model: Simulation Analysis and Application to the Bank CDS Market During the 2007-2008 Crisis

Number of pages: 26 Posted: 24 Mar 2009
Samuel W. Malone, Abel Rodriguez and Enrique ter Horst
University of the Andes, University of California, Santa Cruz and Colegio de Estudios Superiores de Administracion
Downloads 491 (39,799)

Abstract:

2.

The Black Market for Dollars in Venezuela

Number of pages: 17 Posted: 22 Dec 2008
Samuel W. Malone and Enrique ter Horst
University of the Andes and Colegio de Estudios Superiores de Administracion
Downloads 436 (41,496)

Abstract:

Black market, exchange rates, Venezuela, capital controls

3.

Timing Foreign Exchange Markets

Midwest Finance Association 2013 Annual Meeting Paper
Number of pages: 44 Posted: 02 Oct 2012 Last Revised: 14 Apr 2014
Samuel W. Malone, Robert B. Gramacy and Enrique ter Horst
University of the Andes, University of Chicago - Booth School of Business and Colegio de Estudios Superiores de Administracion
Downloads 327 (48,669)
Citation 1

Abstract:

foreign exchange, speculation, Bayesian treed Gaussian process, Anatolyev-Gerko statistic

4.

A Bayesian Time-Varying Approach to Risk Neutral Density Estimation

Number of pages: 42 Posted: 21 Jun 2015
Roberto Casarin, German Molina and Enrique ter Horst
University Ca' Foscari of Venice - Department of Economics, Idalion Capital US LP and Colegio de Estudios Superiores de Administracion
Downloads 45 (246,484)

Abstract:

Bayesian Inference, Cubic Smoothing Splines, Dynamic Linear Models, Nonparametric Risk-Neutral Densities, Smoothing Parameter Estimation

5.

A Bayesian Beta Markov Random Field Calibration of the Term Structure of Implied Risk Neutral Densities

Ca' Foscari University of Venice Department of Economics Working Paper No. 22/WP/2014
Number of pages: 28 Posted: 09 Dec 2014
University Ca' Foscari of Venice - Department of Economics, University of Kent, Canterbury, Idalion Capital US LP and Colegio de Estudios Superiores de Administracion
Downloads 19 (403,122)

Abstract:

Bayesian inference, Beta random fields, Exchange Metropolis Hastings, Markov chain Monte Carlo, Risk neutral measure

6.

Risk Neutral Measure Determination from Price Ranges: Single Period Market Models.

Number of pages: 21 Posted: 08 May 2017
Henryk Gzyl, Enrique ter Horst and German Molina
IESA, Colegio de Estudios Superiores de Administracion and Idalion Capital US LP
Downloads 0 (503,427)

Abstract:

Risk neutral measures, maximum entropy with errors in the data, bid-ask prices

7.

Measuring Expectations in Options Markets: An Application to the S&P500 Index

Posted: 22 Dec 2008
Abel Rodriguez and Enrique ter Horst
University of California, Santa Cruz and Colegio de Estudios Superiores de Administracion

Abstract:

Nonparametric Bayes, Dependent Dirichlet process, European Options, Implied Prices