Browsing by Author "Guidolin, Massimo"
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Guidolin, Massimo; Hansen, Erwin; Pedio, Manuela (Elsevier B.V., 2019)The recent U.S. subprime crisis provides us with a perfect framework to study cross-asset contagion mechanisms in the U.S. financial markets. Specifically, we look at how and to what extent a negative shock that initially ...
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Guidolin, Massimo; Hansen Silva, Erwin (Wiley-Blackwell, 2016)We price S&P 500 index options under the assumption that the conditional risk-neutral density function of the index follows a Semi-Nonparametric (SNP) process with GARCH variance. The model is estimated combining a set of ...