Showing 1 - 10 of 211
estimation strategy is applicable to both parametric and nonparametric stochastic volatility models, and can handle both jumps …
Persistent link: https://www.econbiz.de/10011445712
In this paper we introduce various set inference problems as they appear in finance and propose practical and powerful … discount factors and the admissible mean-variance sets of asset portfolios. We propose to make inference on such sets using … inference on sets. …
Persistent link: https://www.econbiz.de/10010288322
In this paper we consider the problem of inference on a class of sets describing a collection of admissible models as … especially appealing in the target applications. Moreover, the resulting inference procedures are also more powerful than the …
Persistent link: https://www.econbiz.de/10010318719
Important features of certain economic models may be revealed by studying positive eigenfunctions of appropriately chosen linear operators. Examples include long-run risk-return relationships in dynamic asset pricing models and components of marginal utility in external habit formation models....
Persistent link: https://www.econbiz.de/10011282649
We introduce econometric methods to perform estimation and inference on the permanent and transitory components of the …
Persistent link: https://www.econbiz.de/10011445735
This paper develops characterizations of identified sets of structures and structural features for complete and incomplete models involving continuous or discrete variables. Multiple values of unobserved variables can be associated with particular combinations of observed variables. This can...
Persistent link: https://www.econbiz.de/10011594354
Individual heterogeneity is an important source of variation in demand. Allowing for general heterogeneity is needed for correct welfare comparisons. We consider general heterogenous demand where preferences and linear budget sets are statistically independent. Only the marginal distribution of...
Persistent link: https://www.econbiz.de/10011445701
This paper develops characterizations of identified sets of structures and structural features for complete and incomplete models involving continuous and/or discrete variables. Multiple values of unobserved variables can be associated with particular combinations of observed variables. This can...
Persistent link: https://www.econbiz.de/10011445774
This paper studies simultaneous equations models for two or more discrete outcomes. These models may be incoherent, delivering no values of the outcomes at certain values of the latent variables and covariates, and they may be incomplete, delivering more than one value of the outcomes at certain...
Persistent link: https://www.econbiz.de/10010288313
The paper studies the partial identifying power of structural single equation threshold crossing models for binary responses when explanatory variables may be endogenous. The paper derives the sharp identified set of threshold functions for the case in which explanatory variables are discrete...
Persistent link: https://www.econbiz.de/10010288364