7 citations · 7 across the 2 of their papers we have counts for
2 papers
stat.AP2014
A Bayesian Beta Markov Random Field Calibration of the Term Structure of Implied Risk Neutral Densities
Roberto Casarin, Fabrizio Leisen, German Molina +1
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…
math.ST2010★ 7 cited
Bayesian Model Selection for Beta Autoregressive Processes
R. Casarin, L. Dalla Valle, F. Leisen
We deal with Bayesian inference for Beta autoregressive processes. We restrict our attention to the class of conditionally linear processes. These processes are particularly suitab…