Eva Ferreira

University of the Basque Country - Department of Applied Economics III (Econometrics and Statistics)

Avda. Lehendakari Aguirre 83

Bilbao, Vizcaya 48015

Spain

SCHOLARLY PAPERS

3

DOWNLOADS

617

SSRN CITATIONS

1

CROSSREF CITATIONS

1

Scholarly Papers (3)

1.

A Semiparametric Estimation of Liquidity Effects on Option Pricing

Biltoki Working Paper No. 08, 1999
Number of pages: 48 Posted: 10 Oct 2000
Eva Ferreira, Mónica Gago and Gonzalo Rubio
University of the Basque Country - Department of Applied Economics III (Econometrics and Statistics), Mondragon University - Ciencias Empresariales and University of the Basque Country - Department of Foundations of Economic Analysis I
Downloads 438 (125,516)
Citation 1

Abstract:

Loading...

Multivariate Kernel and SNN Regressions, Volatility Smile, Option Pricing

2.

Conditional Beta Pricing Models: A Nonparametric Approach

Number of pages: 47 Posted: 15 May 2011 Last Revised: 04 Jul 2011
Eva Ferreira, Javier Gil-Bazo and Susan Orbe
University of the Basque Country - Department of Applied Economics III (Econometrics and Statistics), Universitat Pompeu Fabra and affiliation not provided to SSRN
Downloads 179 (312,198)
Citation 1

Abstract:

Loading...

Kernel estimation, Conditional asset pricing models, Fama-French three-factor model, Locally stationary processes

3.

Beyond Single-Factor Affine Term Structure Models

Journal of Financial Econometrics, Vol. 2, pp. 565-591, 2004
Posted: 29 Feb 2008
Eva Ferreira and Javier Gil-Bazo
University of the Basque Country - Department of Applied Economics III (Econometrics and Statistics) and Universitat Pompeu Fabra

Abstract:

Loading...

bond risk premiums, Kolmogorov-Smirnov test, nonparametric estimation, single-factor term structure models

Other Papers (1)

Total Downloads: 285
1.

Beyond Single-Factor Affine Term Structure Models

Number of pages: 37 Posted: 22 Mar 2002
Eva Ferreira and Javier Gil-Bazo
University of the Basque Country - Department of Applied Economics III (Econometrics and Statistics) and Universitat Pompeu Fabra
Downloads 285

Abstract:

Loading...

nonparametric estimation, term structure of interest rates