Narrow search
Showing 1 - 10 of 367
Cover Image
Let's get LADE : robust estimation of semiparametric multiplicative volatility models
Koo, Bonsoo; Linton, Oliver - 2013
We investigate a model in which we connect slowly time varying unconditional long-run volatility with short …-run conditional volatility whose representation is given as a semi-strong GARCH (1,1) process with heavy tailed errors. We focus on … robust estimation of both long-run and short-run volatilities. Our estimation is semiparametric since the long-run volatility …
Persistent link: https://www.econbiz.de/10009719116
Cover Image
Estimation of stochastic volatility models by nonparametric filtering
Kanaya, Shin; Kristensen, Dennis - 2015
A two-step estimation method of stochastic volatility models is proposed. In the first step, we nonparametrically … estimate the (unobserved) instantaneous volatility process. In the second step, standard estimation methods for fully observed … diffusion processes are employed, but with the filtered/estimated volatility process replacing the latent process. Our …
Persistent link: https://www.econbiz.de/10010487528
Cover Image
Estimation with mixed data frequencies : a bias-correction approach
Ghosh, Anisha; Linton, Oliver - 2019
We propose a solution to the measurement error problem that plagues the estimation of the relation between the expected return of the stock market and its conditional variance due to the latency of these conditional moments. We use intra-period returns to construct a nonparametric proxy for the...
Persistent link: https://www.econbiz.de/10012128650
Cover Image
Identifying the returns to lying when the truth is unobserved
Hu, Yingyao (contributor); Lewbel, Arthur (contributor) - 2007 - rev.
Persistent link: https://www.econbiz.de/10003637513
Cover Image
More on confidence intervals for partially identified parameters
Stoye, Jörg (contributor) - 2008
This paper extends Imbens and Manski’s (2004) analysis of confidence intervals for interval identified parameters. For their final result, Imbens and Manski implicitly assume superefficient estimation of a nuisance parameter. This appears to have gone unnoticed before, and it limits the...
Persistent link: https://www.econbiz.de/10003739665
Cover Image
Estimation of nonparametric conditional moment models with possibly nonsmooth moments
Chen, Xiaohong (contributor); Pouzo, Demian (contributor) - 2008
This paper studies nonparametric estimation of conditional moment models in which the residual functions could be nonsmooth with respect to the unknown functions of endogenous variables. It is a problem of nonparametric nonlinear instrumental variables (IV) estimation, and a difficult nonlinear...
Persistent link: https://www.econbiz.de/10003739667
Cover Image
Improving point and interval estimates of monotone functions by rearrangement
Chernozhukov, Victor (contributor);  … - 2008
Suppose that a target function is monotonic, namely weakly increasing, and an original estimate of this target function is available, which is not weakly increasing. Many common estimation methods used in statistics produce such estimates. We show that these estimates can always be improved with...
Persistent link: https://www.econbiz.de/10003739689
Cover Image
GEL methods for nonsmooth moment indicators
Parente, Paulo (contributor); Smith, Richard J. (contributor) - 2008
This paper considers the first order large sample properties of the GEL class of estimators for models specified by non-smooth indicators. The GEL class includes a number of estimators recently introduced as alternatives to the efficient GMM estimator which may suffer from substantial biases in...
Persistent link: https://www.econbiz.de/10003739699
Cover Image
Estimating derivatives in nonseparable models with limited dependent variables
Altonji, Joseph G. (contributor);  … - 2008
We present a simple way to estimate the effects of changes in a vector of observable variables X on a limited dependent variable Y when Y is a general nonseparable function of X and unobservables. We treat models in which Y is censored from above or below or potentially from both. The basic idea...
Persistent link: https://www.econbiz.de/10003739704
Cover Image
Large-sample inference on spatial dependence
Robinson, Peter M. (contributor) - 2008
demonstrate that a spatial version of the stochastic volatility model of financial econometrics, entailing a form of spatial …
Persistent link: https://www.econbiz.de/10003765993