Recovering the probability density function of asset prices using garch as diffusion approximations

@inproceedings{Fornaria2001RecoveringTP,
  title={Recovering the probability density function of asset prices using garch as diffusion approximations},
  author={Fabio Fornaria and Antonio Meleb},
  year={2001}
}
  • Fabio Fornaria, Antonio Meleb
  • Published 2001
This paper uses Garch models to estimate the objective and risk-neutral density functions of financial asset prices and by comparing their shapes, recover detailed information on economic agents’ attitudes toward risk. It differs from recent papers investigating analogous issues because it uses Nelson’s result that Garch schemes are approximations of the… CONTINUE READING