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Pseudo-Maximum Likelihood Estimation in Two Classes of Semiparametric Diffusion Models

Kristensen, Dennis - School of Economics and Management, University of Aarhus - 2009

A novel estimation method for two classes of semiparametric scalar diffusion models is proposed: In the first class …

Persistent link: https://www.econbiz.de/10008527073

Semiparametric Modelling and Estimation: A Selective Overview

Kristensen, Dennis - School of Economics and Management, University of Aarhus - 2009

Semiparametric models are characterized by a finite- and infinite-dimensional (functional) component. As such they … developed that exhibit standard parametric convergence rates. These two features have made semiparametric models and estimators … increasingly popular in applied economics. We give a partial overview over the literature on semiparametric modelling and …

Persistent link: https://www.econbiz.de/10008506834

Semi-Nonparametric Estimation and Misspecification Testing of Diffusion Models

Kristensen, Dennis - School of Economics and Management, University of Aarhus - 2010

Novel transition-based misspeci?cation tests of semiparametric and fully parametric univariate diffusion models based …

Persistent link: https://www.econbiz.de/10008462024

Unstable volatility functions: the break preserving local linear estimator

Casas, Isabel; Gijbels, Irene - School of Economics and Management, University of Aarhus - 2009

The objective of this paper is to introduce the break preserving local linear (BPLL) estimator for the estimation of unstable volatility functions. Breaks in the structure of the conditional mean and/or the volatility functions are common in Finance. Markov switching models (Hamilton, 1989) and...

Persistent link: https://www.econbiz.de/10008577798

Estimation of Stochastic Volatility Models by Nonparametric Filtering

Kanaya, Shin; Kristensen, Dennis - School of Economics and Management, University of Aarhus - 2010

A two-step estimation method of stochastic volatility models is proposed: In the first step, we estimate the (unobserved) instantaneous volatility process using the estimator of Kristensen (2010, Econometric Theory 26). In the second step, standard estimation methods for fully observed diffusion...

Persistent link: https://www.econbiz.de/10008677955

Modeling corporate defaults: Poisson autoregressions with exogenous covariates (PARX)

Agosto, Arianna; Cavaliere, Giuseppe; Kristensen, Dennis; … - School of Economics and Management, University of Aarhus - 2015

We develop a class of Poisson autoregressive models with additional covariates (PARX) that can be used to model and forecast time series of counts. We establish the time series properties of the models, including conditions for stationarity and existence of moments. These results are in turn...

Persistent link: https://www.econbiz.de/10011170253

Nonparametric Detection and Estimation of Structural Change

Kristensen, Dennis - School of Economics and Management, University of Aarhus - 2011

We propose a nonparametric approach to the estimation and testing of structural change in time series regression models. Under the null of a given set of the coefficients being constant, we develop estimators of both the nonparametric and parametric components. Given the estimators under null...

Persistent link: https://www.econbiz.de/10009003125

Jump Tails, Extreme Dependencies, and the Distribution of Stock Returns

Bollerslev, Tim; Todorov, Viktor - School of Economics and Management, University of Aarhus - 2010

We provide a new framework for estimating the systematic and idiosyncratic jump tail risks in financial asset prices. The theory underlying our estimates are based on in-fill asymptotic arguments for directly identifying the systematic and idiosyncratic jumps, together with conventional...

Persistent link: https://www.econbiz.de/10008677227

Edgeworth expansion for functionals of continuous diffusion processes

Podolskij, Mark; Yoshida, Nakahiro - School of Economics and Management, University of Aarhus - 2013

This paper presents new results on the Edgeworth expansion for high frequency functionals of continuous diffusion processes. We derive asymptotic expansions for weighted functionals of the Brownian motion and apply them to provide the Edgeworth expansion for power variation of diffusion...

Persistent link: https://www.econbiz.de/10010851189

Goodness-of-fit testing for fractional diffusions

Podolskij, Mark; Wasmuth, Katrin - School of Economics and Management, University of Aarhus - 2012

This paper presents a goodness-of-fit test for the volatility function of a SDE driven by a Gaussian process with stationary and centered increments. Under rather weak assumptions on the Gaussian process, we provide a procedure for testing whether the unknown volatility function lies in a given...

Persistent link: https://www.econbiz.de/10010851227

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