Matches in SemOpenAlex for { <https://semopenalex.org/work/W3123100064> ?p ?o ?g. }
Showing items 1 to 79 of
79
with 100 items per page.
- W3123100064 abstract "We build on the work in Fackler and King 1990, and propose a more general calibration model for implied risk neutral densities. Our model allows for the joint calibration of a set of densities at different maturities and dates through a Bayesian dynamic Beta Markov Random Field. Our approach allows for possible time dependence between densities with the same maturity, and for dependence across maturities at the same point in time. This approach to the problem encompasses model flexibility, parameter parsimony and, more importantly, information pooling across densities." @default.
- W3123100064 created "2021-02-01" @default.
- W3123100064 creator A5008079274 @default.
- W3123100064 creator A5042104024 @default.
- W3123100064 creator A5058836069 @default.
- W3123100064 creator A5061459766 @default.
- W3123100064 date "2014-09-01" @default.
- W3123100064 modified "2023-09-27" @default.
- W3123100064 title "A Bayesian Beta Markov Random Field calibration of the term structure of implied risk neutral densities" @default.
- W3123100064 hasPublicationYear "2014" @default.
- W3123100064 type Work @default.
- W3123100064 sameAs 3123100064 @default.
- W3123100064 citedByCount "0" @default.
- W3123100064 crossrefType "posted-content" @default.
- W3123100064 hasAuthorship W3123100064A5008079274 @default.
- W3123100064 hasAuthorship W3123100064A5042104024 @default.
- W3123100064 hasAuthorship W3123100064A5058836069 @default.
- W3123100064 hasAuthorship W3123100064A5061459766 @default.
- W3123100064 hasConcept C105795698 @default.
- W3123100064 hasConcept C107673813 @default.
- W3123100064 hasConcept C121332964 @default.
- W3123100064 hasConcept C121864883 @default.
- W3123100064 hasConcept C130402806 @default.
- W3123100064 hasConcept C149782125 @default.
- W3123100064 hasConcept C154945302 @default.
- W3123100064 hasConcept C159886148 @default.
- W3123100064 hasConcept C160234255 @default.
- W3123100064 hasConcept C165838908 @default.
- W3123100064 hasConcept C21621910 @default.
- W3123100064 hasConcept C33923547 @default.
- W3123100064 hasConcept C41008148 @default.
- W3123100064 hasConcept C61797465 @default.
- W3123100064 hasConcept C62520636 @default.
- W3123100064 hasConcept C70437156 @default.
- W3123100064 hasConcept C98763669 @default.
- W3123100064 hasConceptScore W3123100064C105795698 @default.
- W3123100064 hasConceptScore W3123100064C107673813 @default.
- W3123100064 hasConceptScore W3123100064C121332964 @default.
- W3123100064 hasConceptScore W3123100064C121864883 @default.
- W3123100064 hasConceptScore W3123100064C130402806 @default.
- W3123100064 hasConceptScore W3123100064C149782125 @default.
- W3123100064 hasConceptScore W3123100064C154945302 @default.
- W3123100064 hasConceptScore W3123100064C159886148 @default.
- W3123100064 hasConceptScore W3123100064C160234255 @default.
- W3123100064 hasConceptScore W3123100064C165838908 @default.
- W3123100064 hasConceptScore W3123100064C21621910 @default.
- W3123100064 hasConceptScore W3123100064C33923547 @default.
- W3123100064 hasConceptScore W3123100064C41008148 @default.
- W3123100064 hasConceptScore W3123100064C61797465 @default.
- W3123100064 hasConceptScore W3123100064C62520636 @default.
- W3123100064 hasConceptScore W3123100064C70437156 @default.
- W3123100064 hasConceptScore W3123100064C98763669 @default.
- W3123100064 hasLocation W31231000641 @default.
- W3123100064 hasOpenAccess W3123100064 @default.
- W3123100064 hasPrimaryLocation W31231000641 @default.
- W3123100064 hasRelatedWork W1549898297 @default.
- W3123100064 hasRelatedWork W1752868210 @default.
- W3123100064 hasRelatedWork W1880007088 @default.
- W3123100064 hasRelatedWork W1966607675 @default.
- W3123100064 hasRelatedWork W1980144118 @default.
- W3123100064 hasRelatedWork W200638299 @default.
- W3123100064 hasRelatedWork W2031668279 @default.
- W3123100064 hasRelatedWork W2046357557 @default.
- W3123100064 hasRelatedWork W2061390467 @default.
- W3123100064 hasRelatedWork W2131387906 @default.
- W3123100064 hasRelatedWork W2152216310 @default.
- W3123100064 hasRelatedWork W2159830737 @default.
- W3123100064 hasRelatedWork W2210205890 @default.
- W3123100064 hasRelatedWork W2511883346 @default.
- W3123100064 hasRelatedWork W2807705452 @default.
- W3123100064 hasRelatedWork W2963866927 @default.
- W3123100064 hasRelatedWork W3123901573 @default.
- W3123100064 hasRelatedWork W3124550470 @default.
- W3123100064 hasRelatedWork W3124899809 @default.
- W3123100064 hasRelatedWork W762922975 @default.
- W3123100064 isParatext "false" @default.
- W3123100064 isRetracted "false" @default.
- W3123100064 magId "3123100064" @default.
- W3123100064 workType "article" @default.