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Quadratic M-Estimators for ARCH-Type Processes

Meddahi, Nour; Renault, Éric - Centre Interuniversitaire de Recherche en Analyse des … - 1998

. We establish the direct links between the usual parametric estimation methods, namely the QMLE, the GMM and the M …-estimation. The usual univariate QMLE is, under non-normality, less efficient than the optimal GMM estimator. However, the bivariate … QMLE based on the dependent variable and its square is as efficient as the optimal GMM one. A Monte Carlo analysis confirms …

Persistent link: https://www.econbiz.de/10005100653

Incentives, Team Production, Transaction Costs and the Optimal Contract: Estimates of an Agency Model using Payroll Records

Ferrall, Christopher; Shearer, Bruce S. - Centre Interuniversitaire de Recherche en Analyse des … - 1994

We apply agency theory to the payroll records of a copper mine that paid a production bonus to teams of workers. As with most incentive pay used by firms, the bonus was simpler in form than the optimal contract that balances incentives, insurance, and free-riding. We explore whether transactions...

Persistent link: https://www.econbiz.de/10005100684

The Unreliability of Output Gap Estimates in Real Time

Orphanides, Athanasios; Norden, Simon van - Centre Interuniversitaire de Recherche en Analyse des … - 2001

We examine the reliability of alternative output detrending methods, with special attention to the accuracy of real-time estimates of the output gap. We show that ex post revisions of the estimated gap are of the same order of magnitude as the estimated gap itself and that these revisions are...

Persistent link: https://www.econbiz.de/10005101026

Risk Aversion, Intertemporal Substitution, and Option Pricing

Garcia, René; Renault, Éric - Centre Interuniversitaire de Recherche en Analyse des … - 1998

This paper develops a general stochastic framework and an equilibrium asset pricing model that make clear how attitudes towards intertemporal substitution and risk matter for option pricing. In particular, we show under which statistical conditions option pricing formulas are not...

Persistent link: https://www.econbiz.de/10005100513

Empirical Assessment of an Intertemporal Option Pricing Model with Latent Variables (Note : New version February 2002) / Empirical Assessment of an Intertemporal Option Pricing Mod...

Garcia, René; Luger, Richard; Renault, Éric - Centre Interuniversitaire de Recherche en Analyse des … - 2001

This paper assesses the empirical performance of an intertemporal option pricing model with latent variables which generalizes the Hull-White stochastic volatility formula. Using this generalized formula in an ad-hoc fashion to extract two implicit parameters and forecast next day S&P 500 option...

Persistent link: https://www.econbiz.de/10005100563

Structural Change Tests for Simulated Method of Moments

Ghysels, Eric; Guay, Alain - Centre Interuniversitaire de Recherche en Analyse des … - 1998

Simulation-based estimation methods have become more widely used in recent years. We propose a set of tests for structural change in models estimates via Simulated Method of Moments (see Duffie and Singleton (1993)). These tests extend the recent work of Andrews (1993) and Sowell (1996a, b)...

Persistent link: https://www.econbiz.de/10005100632

Testing for Structural Change in the Presence of Auxiliary Models

Ghysels, Eric; Guay, Alain - Centre Interuniversitaire de Recherche en Analyse des … - 2001

Several estimation procedures such as the Efficient Method of Moments (EMM) of Gallant and Tauchen (1996) and Indirect Inference procedure of Gouriéroux, Monfort and Renault (1993) involve two models, an auxiliary one and a model of interest. The role played by both models poses challenges and...

Persistent link: https://www.econbiz.de/10005100664

Stochastic Volatility: Univariate and Multivariate Extensions

Jacquier, Éric; Polson, Nicholas G.; Rossi, Peter E. - Centre Interuniversitaire de Recherche en Analyse des … - 1999

Stochastic volatility models, aka SVOL, are more difficult to estimate than standard time-varying volatility models (ARCH). Advances in the literature now offer well tested estimators for a basic univariate SVOL model. However, the basic model is too restrictive for many economic and finance...

Persistent link: https://www.econbiz.de/10005100719

Tests multiples simulés et tests de normalité basés sur plusieurs moments dans les modèles de régression

Dufour, Jean-Marie; Farhat, Abdeljelil; Khalaf, Lynda - Centre Interuniversitaire de Recherche en Analyse des … - 2005

This paper illustrates the usefulness of resampling based methods in the context of multiple (simultaneous) tests, with emphasis on econometric applications. Economic theory often suggests joint (or simultaneous) hypotheses on econometric models; consequently, the problem of evaluating joint...

Persistent link: https://www.econbiz.de/10005100723

The Econometrics of Option Pricing

Garcia, René; Ghysels, Eric; Renault, Éric - Centre Interuniversitaire de Recherche en Analyse des … - 2004

In this survey, we review econometric models for conducting statistical inference on option price data. We limit our review to European options on a stock index as well as to statistical methods which have been specifically developped for options. Emphasis is put on the synthesis of the various...

Persistent link: https://www.econbiz.de/10005100744