Similar Search Results

A Relationship Between Regression Tests and Volatility Tests of Market ncy

Frankel, Jeffrey A. - 1983

Volatility tests are an alternative to regression tests for evaluating the joint null hypothesis of market efficiency … taken to be. By considering tests based on conditional volatility bounds, we show that if the alternative is that one could … conditional volatility tests.If the application is to spot and forward markets, then the most powerful conditional volatility test …

Persistent link: https://www.econbiz.de/10012477997

Maximum Likelihood Estimation of Stochastic Volatility Models

Ait-Sahalia, Yacine - 2004

We develop and implement a new method for maximum likelihood estimation in closed-form of stochastic volatility models … unobservable volatility state, to an approximate likelihood procedure where the volatility state is replaced by the implied … volatility of a short dated at-the-money option. We find that the approximation results in a negligible loss of accuracy. We …

Persistent link: https://www.econbiz.de/10012468114

Testing for Parameter Instability and Structural Change in Persistent Predictive Regressions

Andersen, Torben; Varneskov, Rasmus Tangsgaard - National Bureau of Economic Research - 2021

explore the stability of the fractionally cointegrating relation between implied- and realized volatility (IV and RV …

Persistent link: https://www.econbiz.de/10012496124

Shrinkage Estimation of High-Dimensional Factor Models with Structural Instabilities

Cheng, Xu - 2014

In high-dimensional factor models, both the factor loadings and the number of factors may change over time. This paper proposes a shrinkage estimator that detects and disentangles these instabilities. The new method simultaneously and consistently estimates the number of pre- and post-break...

Persistent link: https://www.econbiz.de/10012458871

Impulse Response Functions for Self-Exciting Nonlinear Models

Francis, Neville; Owyang, Michael T.; Soques, Daniel F. - National Bureau of Economic Research - 2023

We calculate impulse response functions from regime-switching models where the driving variable can respond to the shock. Two methods used to estimate the impulse responses in these models are generalized impulse response functions and local projections. Local projections depend on the observed...

Persistent link: https://www.econbiz.de/10014372466

A Monte Carlo Study of Two Robust Alternatives of Least Square Regression Estimation

Hill, Richard W. - 1974

We give some Monte Carlo results on the performance of two robust alternatives to least squares regression estimation - least absolute residuals and the one-step "sine" estimator. We show how to scale the residuals for the sine estimator to achieve constant efficiency at the Gaussian across...

Persistent link: https://www.econbiz.de/10012479068

Monte Carlo Techniques in Studying Robust Estimators

Hoaglin, David C. - 1973

Recent work on robust estimation has led to many procedures, which are easy to formulate and straightforward to program but difficult to study analytically. In such circumstances experimental sampling is quite attractive, but the variety and complexity of both estimators and sampling situations...

Persistent link: https://www.econbiz.de/10012479109

Monte Carlo for Robust Regression : The Swindle Unmasked

Holland, Paul W. - 1973

This paper gives an alternative derivation of a Monte Carlo method that has been used to study robust estimators. Extensions of the technique to the regression case are also considered and some computational points are briefly mentioned

Persistent link: https://www.econbiz.de/10012479115

Combining Matching and Synthetic Controls to Trade off Biases from Extrapolation and Interpolation

Kellogg, Maxwell - 2020

The synthetic control method is widely used in comparative case studies to adjust for differences in pre-treatment characteristics. A major attraction of the method is that it limits extrapolation bias that can occur when untreated units with different pre-treatment characteristics are combined...

Persistent link: https://www.econbiz.de/10012479148

Random-Coefficients Logit Demand Estimation with Zero-Valued Market Shares

Dubé, Jean-Pierre H. - 2020

Although typically overlooked, many purchase datasets exhibit a high incidence of products with zero sales. We propose a new estimator for the Random-Coefficients Logit demand system for purchase datasets with zero-valued market shares. The identification of the demand parameters is based on a...

Persistent link: https://www.econbiz.de/10012479319

1
2
3
4
5
6
7
8
9
10
Next
Last