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This paper investigates the use of price intensities to estimate volatilities based on high-frequency data. We interpret the conditional probability for the occurrence of a price event within a certain time horizon as a risk measure which allows us to obtain an estimator of the conditional...
Persistent link: https://www.econbiz.de/10011543683
When making decisions, agents tend to make use of decisions others have made in similar situations. Ignoring this behavior in empirical models can be interpreted as a problem of omitted variables and may seriously bias parameter estimates and harm inference. We suggest a possibility of...
Persistent link: https://www.econbiz.de/10011544393
The recent availability of large data sets covering single transactions on financial markets has created a new branch of econometrics which has opened up a new door of looking at the microstructure of financial markets and its dynamics. The specific nature of transaction data such as the...
Persistent link: https://www.econbiz.de/10011544938
This paper investigates the time between transactions on financial markets. It is assumed that the interval between transactions is a random variable and the relationship between the probability to observe a transaction at each instant of time and the type of the previous trade is investigated....
Persistent link: https://www.econbiz.de/10011545007
We compare the performance of maximum likelihood (ML) and simulated method of moments (SMM) estimation for dynamic discrete choice models. We construct and estimate a simplified dynamic structural model of education that captures some basic features of educational choices in the United States in...
Persistent link: https://www.econbiz.de/10010418037
We compare the performance of maximum likelihood (ML) and simulated method of moments (SMM) estimation for dynamic discrete choice models. We construct and estimate a simplified dynamic structural model of education that captures some basic features of educational choices in the United States in...
Persistent link: https://www.econbiz.de/10010424834
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