Showing 1 - 10 of 20
We propose an econometric model that captures the e¤ects of market microstructure on a latent price process. In particular, we allow for correlation between the measurement error and the return process and we allow the measurement error process to have a diurnal heteroskedasticity. We propose a...
Persistent link: https://www.econbiz.de/10011071545
We investigate the use of subsampling for conducting inference about the quadratic variation of a discretely observed diffusion process under an infill asymptotic scheme. We show that the usual subsampling method of Politis and Romano (1994) is inconsistent when applied to our inference...
Persistent link: https://www.econbiz.de/10010928783
In this paper, I examine the properties of the class of generalized empirical likelihood estimators of moment-condition models. These nonparametric likelihood estimators satisfy exactly the moment conditions and automatically remove any bias due to a lack of centering. Moreover, the bias of the...
Persistent link: https://www.econbiz.de/10005345583
The Use of a Simple Decision Rule in Repeated Oligopoly Games Much interest has been directed towards decision rules and conditions when firms make decisions converging to a non-cooperative Nash equilibrium in repeated oligopoly games. We explore the use of a simple decision rule where firms...
Persistent link: https://www.econbiz.de/10005537611
Persistent link: https://www.econbiz.de/10005537812
We develop in this paper a general econometric methodology referred to as the Simulated Asymptotic Least Squares (SALS). It is shown that this approach provides a unifying theory for 'approximation-based' or simulation-based inference methods and nests the Simulated Nonlinear Least Squares...
Persistent link: https://www.econbiz.de/10010744799
We address the problem of parameter estimation for diffusion driven stochastic volatility models through Markov chain Monte Carlo (MCMC). To avoid degeneracy issues we introduce an innovative reparametrisation defined through transformations that operate on the time scale of the diffusion. A...
Persistent link: https://www.econbiz.de/10010746298
This paper describes and analyses the use of the Filtered Historical Simulation algorithm in pricing spread options. Spread options are contracts whose payoff depends on the price difference (spread) between two or more underlying assets at a future date. Such kind of options are written in the...
Persistent link: https://www.econbiz.de/10005706253
The main problem in the combination of volatility forecasts is that the volatility cannot be directly observed and hence loss functions such as the MSFE cannot be directly used unless a suitable proxy of the conditional variance is defined. A common approach is to use the squared returns but...
Persistent link: https://www.econbiz.de/10005706259
Persistent link: https://www.econbiz.de/10005706587