Empirical Assessment of an Intertemporal option Pricing Model with Latent variables
By René Garcia, Richard Luger, É. Renault. 2003
124 citations recorded by the source corpus.
Subfields: Economics and Econometrics, Finance
View Paper: https://www.semanticscholar.org/paper/b458e4f360dbb9efbd560655b5a24c04b1138eff
How researchers see this paper
The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.
In Economics and Econometrics
- George M. Constantinides
- Stylianos Perrakis
- Ian Martin
- Fousseni Chabi-Yo
- René Garcia
- É. Renault
- R. Kulperger
- Alexandru Badescu
In Finance
- George M. Constantinides
- Stylianos Perrakis
- Jens Carsten Jackwerth
- Ian Martin
- Fousseni Chabi-Yo
- É. Renault
- René Garcia
- R. Kulperger
Citations in the corpus
- State Dependence Can Explain the Risk Aversion Puzzle (2008, methodology): “Rosenberg and Engle (2002), Garcia, Luger, and Renault (2003), and Bliss and Panigirtzoglou (2004) have estimated preference parameters based on parametric asset pricing models with several specifications of the utility function.”
- Risk Aversion at the Country Level (2015, unknown): “(2011), Friend and Blume (1975), Gandelman and Hernández-Murillo (2013), Garcia et al. (2003), Gordon and St-Amour (2004), Hansen and Singleton (1983), Kapteyn and Teppa (2011), Layard et al.”
- Mispricing of S&P 500 Index Options (2006, background): “Jackwerth and Rubinstein (1996), Ait-Sahalia and Lo (1998), Jackwerth (2000), and Ait-Sahalia and Duarte (2003) estimated the risk-neutral stock price distribution from the cross section of option prices.”
- GARCH option pricing: A semiparametric approach (2008, background): “…measures are consistent with Duan’s LRNVR for GARCH ∗The risk neutral valuation relation can also be extended for general mixture models; for a detailed discussion we refer to Garcia et al. (2003). models driven by normal innovations and that they also solve a minimal entropy martingale problem.”
- Consumption-Based Asset Pricing with Higher Cumulants (2010, background): “B, where I present the results of a GMM exercise as in Hansen and Singleton (1982). I use samples consisting of 100 years of simulated data in the model economy with disasters, and show that in such a relatively short sample, GMM leads to biased and extremely inaccurate estimators of the true popula”