Narrow search
Showing 1 - 10 of 674
Cover Image
Treatment evaluation in the case of interactions within markets
Ferracci, Marc; Jolivet, Grégory; van den Berg, Gerard J. - 2010
We extend the standard evaluation framework to allow for interactions between individuals within segmented markets. An individual's outcome depends not only on the assigned treatment status but also on (features of) the distribution of treatments in his market. To evaluate how the distribution...
Persistent link: https://www.econbiz.de/10010273977
Cover Image
Identifying the returns to lying when the truth is unobserved
Hu, Yingyao; Lewbel, Arthur - 2007
Consider an observed binary regressor D and an unobserved binary variable D*, both of which affect some other variable Y. This paper considers nonparametric identification and estimation of the effect of D on Y , conditioning on D* = 0. For example, suppose Y is a person's wage, the unobserved D...
Persistent link: https://www.econbiz.de/10010277518
Cover Image
Predictive inference for integrated volatility
Corradi, Valentina; Distaso, Walter; Swanson, Norman R. - 2011
In recent years, numerous volatility-based derivative products have been engineered. This has led to interest in … constructing conditional predictive densities and confidence intervals for integrated volatility. In this paper, we propose … realized volatility measures, which are constructed using the ex post variation of asset prices. A set of sufficient conditions …
Persistent link: https://www.econbiz.de/10010282869
Cover Image
Finite-Sample Stability of the KPSS Test
Jönsson, Kristian - 2006
In the current paper, the finite-sample stability of various implementations of the KPSS test is studied. The implementations considered differ in how the so-called long-run variance is estimated under the null hypothesis. More specifically, the effects that the choice of kernel, the value of...
Persistent link: https://www.econbiz.de/10013208507
Cover Image
Memory parameter estimation in the presence of level shifts and deterministic trends
McCloskey, Adam; Perron, Pierre - 2012
-periodogram estimator that performs well in a wide variety of circumstances. We apply the estimators to stock market volatility data to find …
Persistent link: https://www.econbiz.de/10010420260
Cover Image
Robust Efficient Method of Moments
Ortelli, Claudio; Trojani, Fabio - Institut für Schweizerisches Bankwesen <Zürich>; … - 2003
This paper focuses on the robust Effcient Method of Moments (EMM) estimation of a general parametric stationary process and proposes a broad framework for constructing robust EMM statistics in this context. This extends the application field of robust statistics to very general time series...
Persistent link: https://www.econbiz.de/10005858309
Cover Image
Semiparametric Multivariate GARCH Models forVolatility Asymmetries and Dynamic Correlations
Audrino, Francesco; Barone-Adesi, Giovanni - Institut für Schweizerisches Bankwesen <Zürich>; … - 2003
We propose a simple class of semiparametric multivariate GARCH models, allowing for asymmetric volatilities and time-varying conditional correlations. Estimates for time-varying conditional correlations are constructed by means of a convex combination of estimates for averaged correlations...
Persistent link: https://www.econbiz.de/10005858366
Cover Image
Efficient Derivative Pricing by Extended Method of Moments
Gagliardini, Patrick; Gourieroux, Christian; Renault, E - Institut für Schweizerisches Bankwesen <Zürich> - 2005
are applied in a stochastic volatility model to get efficient derivative prices, to measure the uncertainty of estimated …
Persistent link: https://www.econbiz.de/10005858515
Cover Image
Boosting estimation of RBF neural networks for dependent data
Kapetanios, George; Blake, Andrew P. - 2007
This paper develops theoretical results for the estimation of radial basis function neural network specifications, for dependent data, that do not require iterative estimation techniques. Use of the properties of regression based boosting algorithms is made. Both consistency and rate results are...
Persistent link: https://www.econbiz.de/10010284226
Cover Image
Measuring conditional persistence in time series
Kapetanios, George - 2002
The persistence properties of economic time series has been a primary object of investigation in a variety of guises since the early days of econometrics. This paper suggests investigating the persistence of processes conditioning on their history. In particular we suggest that examining the...
Persistent link: https://www.econbiz.de/10010284095