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most citedEstimating Option Pricing Models Using a Characteristic Function-Based Linear State Space Representation

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econ.EM2022★ 1 cited

Estimating Option Pricing Models Using a Characteristic Function-Based Linear State Space Representation

H. Peter Boswijk, Roger J. A. Laeven, Evgenii Vladimirov

We develop a novel filtering and estimation procedure for parametric option pricing models driven by general affine jump-diffusions. Our procedure is based on the comparison betwee…

econ.EM2022

Adaptive information-based methods for determining the co-integration rank in heteroskedastic VAR models

H. Peter Boswijk, Giuseppe Cavaliere, Luca De Angelis +1

Standard methods, such as sequential procedures based on Johansen's (pseudo-)likelihood ratio (PLR) test, for determining the co-integration rank of a vector autoregressive (VAR) s…