In the study of finance, likelihood based or moment based methods are frequently used to estimate parameters for various kinds of models given the sampled return data. While the former method is not robust, the latter one suffers from loss of efficiency and high noise-to-signal ratio in the...

This dissertation consists of three essays on modeling and parameter estimation for covariance non-stationary processes. The first essay considers the non-linear deformation of time scale for G(lambda)-stationary processes developed by Jiang, Gray and Woodward [2006]. After the appropriate...

We propose a simple and flexible framework for forecasting the joint density of asset returns. The multinormal distribution is augmented with a polynomial in (time-varying) non‐central co‐moments of assets. We estimate the coefficients of the polynomial via the method of moments for a...

The method of moments has been widely used as a simple alternative to the maximum likelihood method, mainly because of its efficiency and simplicity in obtaining parameter estimators of a mixture of two binomial distributions. In this paper, an alternative estimate is proposed which is as...

We prove a central limit theorem for functionals of two independent d-dimensional fractional Brownian motions with the same Hurst index H in (2d+2,2d) using the method of moments.

We use the expectation of the range of an arithmetic Brownian motion and the method of moments on the daily high, low, opening, and closing prices to estimate the volatility of the stock price. This novel theoretical approach results in an estimator that is genuinely range-based on daily...

We propose to model endogeneity bias using prior distributions of moment conditions. The estimator can be obtained both as a method-of-moments estimator and in a Ridge penalized regression framework. We show the estimator's relation to a Bayesian estimator.

Income distributions for developing countries in Asia are modeled using beta-2 distributions, which are estimated by a method of moments procedure applied to grouped data. Estimated parameters of these distributions are used to calculate measures of inequality, poverty, and pro-poor growth in...