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A Bayesian time varying approach to risk neutral density estimation - MaRDI portal

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A Bayesian time varying approach to risk neutral density estimation (Q6668742)

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scientific article; zbMATH DE number 7972632
Language Label Description Also known as
English
A Bayesian time varying approach to risk neutral density estimation
scientific article; zbMATH DE number 7972632

    Statements

    title
    A Bayesian time varying approach to risk neutral density estimation (English)
    0 references
    author
    Roberto Casarin
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    German Molina
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    Enrique ter Horst
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    publication date
    22 January 2025
    0 references
    zbMATH Keywords
    Bayesian inference
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    cubic smoothing splines
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    dynamic linear models
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    non-parametric risk neutral densities
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    smoothing parameter estimation
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    Identifiers

    zbMATH DE Number
    7972632
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    DOI
    10.1111/RSSA.12386
    0 references
     
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