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Efficient derivative pricing by the extended method of moments

Gagliardini, Patrick; Gouriéroux, Christian; Renault, Eric - 2010 - this version: October 2009

In this paper we introduce the Extended Method of Moments (XMM) estimator. This estimator accommodates a more general set of moment restrictions than the standard Generalized Method of Moments (GMM) estimator. More specifically, the XMM differs from the GMM in that it can handle not only uniform...

Persistent link: https://www.econbiz.de/10003973066

Dynamic quantile models

Gouriéroux, Christian; Jasiak, Joann - In: Journal of econometrics 147 (2008) 1, pp. 198-205

Persistent link: https://www.econbiz.de/10003783800

Generalized covariance estimator

Gouriéroux, Christian; Jasiak, Joann - In: Journal of business & economic statistics : JBES ; a … 41 (2023) 4, pp. 1315-1327

Persistent link: https://www.econbiz.de/10014448640

Efficiency in large dynamic panel models with common factor

Gagliardini, Patrick; Gouriéroux, Christian - 2009 - This version: March 2009

This paper deals with efficient estimation in exchangeable nonlinear dynamic panel models with common unobservable factor. The specification accounts for both micro- and macro-dynamics, induced by the lagged individual observation and the common stochastic factor, respectively. For large...