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

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

A new semiparametric estimator for an empirical asset pricing model with general nonparametric risk-return tradeoff and … consistent, asymptotically normal, and efficient, i.e. it achieves the semiparametric lower bound. A sampling experiment provides … evidence on finite sample properties as well as comparisons with the fully parametric approach and the iterative semiparametric …

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 …