This paper derives explicit expressions for the asymptotic variances of the maximum likelihood and continuously updated GMM estimators under potentially misspecified models. The proposed misspecification-robust variance estimators allow the researcher to conduct valid inference on the model...

This paper deals with the search of optimal paths in a multi-stage stochastic decision network as a first application of the deterministic approximation approach proposed by Tadei et al. [48]. In the network, the involved utilities are stage-dependent and contain random oscillations with an...

This paper derives explicit expressions for the asymptotic variances of the maximum likelihood and continuously updated GMM estimators under potentially misspecified models. The proposed misspecification-robust variance estimators allow the researcher to conduct valid inference on the model...

By equal mean, two skew-symmetric families with the same kernel are quite similar, and the tails are often very close together. We use this observation to approximate the tail distribution of the skew-normal by the skew-normal-Laplace, and accordingly obtain a normal function approximation to...

This paper deals with the search of optimal paths in a multi-stage stochastic decision network as a first application of the deterministic approximation approach proposed by Tadei et al. [48]. In the network, the involved utilities are stage-dependent and contain random oscillations with an...

In this paper we define a set of indirect estimators based on moment approximations of the auxilary estimators. We provide results that describe higher order asymptotic properties of these estimators. The introduction of these is motivated by reasons of analytical and computational facilitation....

In this paper we propose a simple non-parametric calibration procedure of option prices based on the short term asymptotics of implied volatilities. The approximation formula is derived for a general one factor jump-diffusion specification nesting most of the theoretical models typically used...

This paper deals with properties of three indirect estimators that are known to be (first order) asymptotically equivalent. Specifically, we examine a) the issue of validity of the formal Edgeworth expansion of an arbitrary order. b) Given a), we are concerned with valid moment approximations...

Results are presented for approximating the moments of least squares estimators, particularly those of the OLS estimator, and the methodology is illustrated using a simple dynamic model.