Jeroen Dalderop

University of Notre Dame - Department of Economics

Notre Dame, IN 46556

United States

SCHOLARLY PAPERS

3

DOWNLOADS

205

SSRN CITATIONS

1

CROSSREF CITATIONS

1

Scholarly Papers (3)

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 146 (258,327)
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 38 (549,437)

Abstract:

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Option Prices, Risk Aversion, Density Forecasting, Empirical Likelihood

3.

Semiparametric Estimation of Latent Variable Asset Pricing Models

Number of pages: 53 Posted: 22 Jul 2020 Last Revised: 25 Aug 2021
Jeroen Dalderop
University of Notre Dame - Department of Economics
Downloads 21 (652,873)

Abstract:

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