Dr. M. (Maria) Grith
Publications
Article (3)
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Academic (3)
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Grith, M., Härdle, WK., Kneip, A., & Wagner, H. (2018). Functional Principal Component Analysis for Derivatives of Multivariate Curves. Statistica Sinica, 28, 2469-2496. https://doi.org/10.5705/ss.202017.0199
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Grith, M., Härdle, WK., & Krätschmer, V. (2017). Reference-Dependent Preferences and the Empirical Pricing Kernel Puzzle. Review of Finance, 21(1), 269-298. https://doi.org/10.1093/rof/rfv062
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Grith, M., Härdle, WK., & Park, J. (2013). Shape Invariant Modeling of Pricing Kernels and Risk Aversion. Journal of Financial Econometrics, 11(2), 370-399. https://doi.org/10.1093/jjfinec/nbs019
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Chapter (2)
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Academic (2)
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Grith, M., & Krätschmer, V. (2012). Parametric estimation of risk neutral density functions. In J.-C. Duan (Ed.), Handbook of Computational Finance (pp. 253-275). Springer-Verlag. https://doi.org/10.1007/978-3-642-17254-0_10
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Grith, M., Härdle, W. K., & Schienle, M. (2012). Nonparametric estimation of risk-neutral densities. In Handbook of Computational Finance (pp. 277-305). Springer-Verlag. https://doi.org/10.1007/978-3-642-17254-0_11
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Preprint (1)
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Academic (1)
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Chen, Y., Grith, M., & Lai, H. (2023). Neural Tangent Kernel in Implied Volatility Forecasting: A Nonlinear Functional Autoregression Approach. https://doi.org/10.2139/ssrn.4547560
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Event (1)
Address
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3062 PA Rotterdam
Postbus 1738
3000 DR Rotterdam
Netherlands
