Diego Ronchetti

University of Groningen - SOM Research School

P.O. Box 800

9700 AV Groningen

Netherlands

http://www.rug.nl/staff/d.ronchetti/

SCHOLARLY PAPERS

4

DOWNLOADS

500

SSRN CITATIONS

0

CROSSREF CITATIONS

3

Scholarly Papers (4)

Comparing Asset Pricing Models by the Conditional Hansen-Jagannathan Distance

Number of pages: 77 Posted: 06 Oct 2015
Patrick Gagliardini and Diego Ronchetti
USI Università della Svizzera italiana and University of Groningen - SOM Research School
Downloads 156 (190,730)

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Asset pricing model comparison, stochastic discount factor, Hansen-Jagannathan distance, conditional moment restrictions, nonparametric estimation

Comparing Asset Pricing Models by the Conditional Hansen-Jagannathan Distance

Number of pages: 60 Posted: 17 Feb 2015 Last Revised: 25 Jul 2018
Patrick Gagliardini and Diego Ronchetti
USI Università della Svizzera italiana and University of Groningen - SOM Research School
Downloads 16 (569,901)

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Asset pricing model comparison, stochastic discount factor, Hansen-Jagannathan distance, Generalized Method of Moments, conditional moment restrictions, nonparametric estimation

2.

Semi-Parametric Estimation of American Option Prices

Swiss Finance Institute Research Paper No. 10-57
Number of pages: 63 Posted: 12 Jan 2011
Patrick Gagliardini and Diego Ronchetti
USI Università della Svizzera italiana and University of Groningen - SOM Research School
Downloads 152 (194,680)
Citation 1

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American option, kernel estimator, semi-parametric estimation, dynamic programming, recursive valuation, Fréchet derivative, nonlinear functional

An Empirical Study of Stock and American Option Prices

Midwest Finance Association 2012 Annual Meetings Paper
Number of pages: 47 Posted: 31 Aug 2011 Last Revised: 21 Sep 2011
Diego Ronchetti
University of Groningen - SOM Research School
Downloads 77 (317,302)
Citation 1

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American option, equity risk, volatility risk, leverage effect, Sharpe ratio, skewness and kurtosis, nonparametric estimation, model calibration, Generalized Method of Moments, Extended Method of Moments

An Empirical Study of Stock and American Option Prices

Number of pages: 49 Posted: 15 Mar 2012
Diego Ronchetti
University of Groningen - SOM Research School
Downloads 65 (349,168)

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American option, equity risk premium, variance risk premium, leverage effect, Sharpe ratio, skewness and kurtosis, nonparametric estimation, model calibration, Generalized Method of Moments, Extended Method of Moments

Pricing Under Endogenous Capital Structure Changes and Discontinuous Trading

Number of pages: 50 Posted: 31 May 2018 Last Revised: 11 Sep 2018
Diego Ronchetti and Daniël Vullings
University of Groningen - SOM Research School and Rijksuniversiteit Groningen
Downloads 27 (499,763)

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endogenous demand, discontinuous trading, capital structure, contingent convertible debt, financial stability

Pricing Under Endogenous Capital Structure Changes and Discontinuous Trading

Number of pages: 51 Posted: 01 Oct 2018
Diego Ronchetti and Daniël Vullings
University of Groningen - SOM Research School and Rijksuniversiteit Groningen
Downloads 7 (632,508)

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Endogenous Demand, Discontinuous Trading, Capital Structure, Contingent Convertible Debt, Financial Stability