Jeroen Dalderop

University of Notre Dame - Department of Economics

Notre Dame, IN 46556

United States

SCHOLARLY PAPERS

4

DOWNLOADS

386

SSRN CITATIONS

3

CROSSREF CITATIONS

1

Scholarly Papers (4)

1.

Nonparametric Filtering of Conditional State-Price Densities

Journal of Econometrics, Vol. 214, No. 2, 2020
Number of pages: 60 Posted: 20 Jan 2016 Last Revised: 30 Jun 2020
Jeroen Dalderop
University of Notre Dame - Department of Economics
Downloads 174 (314,422)
Citation 2

Abstract:

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Option Pricing, Kernel Regression, High Frequency Data, Random Sampling Times

2.

Efficient Estimation of Pricing Kernels and Market-Implied Densities

Number of pages: 37 Posted: 26 May 2021 Last Revised: 27 May 2021
Jeroen Dalderop
University of Notre Dame - Department of Economics
Downloads 104 (471,082)

Abstract:

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Option Prices, Risk Aversion, Density Forecasting, Empirical Likelihood

3.

Semiparametric Estimation of Latent Variable Asset Pricing Models

Journal of Econometrics, Forthcoming
Number of pages: 54 Posted: 22 Jul 2020 Last Revised: 02 May 2023
Jeroen Dalderop
University of Notre Dame - Department of Economics
Downloads 92 (510,977)

Abstract:

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Asset Prices, Volatility, Risk Aversion, Latent Variables, Semiparametric Estimation

4.

Estimating a conditional density ratio model for asset returns and option demand

Number of pages: 45 Posted: 15 Apr 2024
Jeroen Dalderop and Oliver B. Linton
University of Notre Dame - Department of Economics and University of Cambridge
Downloads 16 (982,970)

Abstract:

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Density Forecasting, Nonparametric Estimation, Option Pricing, Trading Data