This paper investigates the uncertainty in variance and covariance of asset returns. It is commonly believed that these second moments can be estimated very accurately. However, time varying volatility and nonnormality of asset returns can lead to imprecise variance estimates. Using CRSP value...

This paper considers the nonlinear regression with integrated regressors that are contemporaneously correlated with the regression error. We, in particular, establish the consistency and derive the limiting distribution of the nonlinear least squares estimator under such endogeneity for the...

In continuous time specifications, the prices of interest rate derivative securities depend crucially on the mean reversion parameter of the associated interest rate diffusion equation. This parameter is well known to be subject to estimation bias when standard methods like maximum likelihood...

Implied volatility generated from observed option prices reflects market expectations of future volatility. This paper determines whether or not, implied volatilities, and hence market expectations, contain any genuinely forward looking information not already captured by historical information....

Strong consistency and asymptotic normality of the Gaussian pseudo-maximum likelihood estimate of the parameters in a wide class of ARCH($ \infty $) processes are established. The conditions are shown to hold in case of exponential and hyperbolic decay in the ARCH weights, though in the latter...

The stochastic volatility (SV) models had not been popular as the ARCH (autoregressive conditional heteroskedasticity) models in practical applications until recent years even though the SV models have close relationship to financial economic theories. The main reason is that the likelihood of...

We introduce SV models with Markov regime changing state equation (SVMRS) to investigate the important properties of volatility, high persistence and smoothness. With the quasi-ML approach proposed in our study, we showed that volatility is far less persistent and smooth than the GARCH or SV...

El principal objetivo de este trabajo ha sido analizar los principales determinantes de las actividades innovativas en la industria manufacturera chilena durante la segunda mitad de los años noventa. Los resultados confirman las principales hipótesis acerca de la importancia del tamaño de la...

In this paper, I develop a quasi empirical likelihood estimator that has good finite-sample properties when there are many moment conditions. I show that the quasi empirical likelihood estimator, which uses semiparametric efficient estimation, is an approximation to the empirical likelihood...

The aim of the paper is to fulfill the gap for testing hypotheses on parameters of the log-normal stochastic volatility model, more precisely, to propose finite sample exact tests in the sense that the tests have correct levels in small samples. To do this, we examine method-of-moments-based...