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An estimation of economic models with recursive preferences
Chen, Xiaohong; Favilukis, Jack; Ludvigson, Sydney C. - In: Quantitative economics : QE ; journal of the … 4 (2013) 1, pp. 39-83
the estimated relative risk aversion parameter ranges from 17 to 60, with higher values for aggregate consumption than for …
Persistent link: https://www.econbiz.de/10011756863
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An estimation of economic models with recursive preferences
Chen, Xiaohong (contributor); Favilukis, Jack (contributor);  … - 2007
Persistent link: https://www.econbiz.de/10003616319
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An estimation of economic models with recursive preferences
Chen, Xiaohong; Favilukis, Jack; Ludvigson, Sydney C. - 2012 - This draft: October 3, 2012
the estimated relative risk aversion parameter ranges from 17-60, with higher values for aggregate consumption than for …
Persistent link: https://www.econbiz.de/10009667007
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An estimation of economic models with recursive preferences
Chen, Xiaohong; Favilukis, Jack; Ludvigson, Sydney C. - In: Quantitative economics : QE ; journal of the … 4 (2013) 1, pp. 38-83
Persistent link: https://www.econbiz.de/10009759923
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An estimation of economic models with recursive preferences
Chen, Xiaohong; Favilukis, Jack; Ludvigson, Sydney C. - 2011
Persistent link: https://www.econbiz.de/10009231453
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Robust Identification of investor beliefs
Chen, Xiaohong; Hansen, Lars Peter; Hansen, Peter G. - 2020 - This draft: May 14, 2020
Persistent link: https://www.econbiz.de/10012320533
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Efficient estimation of copula-based semiparametric Markov models
Chen, Xiaohong; Wu, Wei Biao; Yi, Yanping - 2009
Persistent link: https://www.econbiz.de/10003808786
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Using BS-PSD-LDA approach to measure operational risk of Chinese commercial banks
Wang, Zongrun; Wang, Wuchao; Chen, Xiaohong; Jin, Yanbo; … - In: Economic modelling 29 (2012) 6, pp. 2095-2103
Persistent link: https://www.econbiz.de/10009673862
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Efficient estimation of copula-based semiparametric Markov models
Chen, Xiaohong; Wu, Wei Biao; Yi, Yanping - 2009
; Semiparametric efficiency ; Sieve likelihood ratio statistics ; Value-at-Risk …
Persistent link: https://www.econbiz.de/10003817253
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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