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Persistent link: https://www.econbiz.de/10005353121
An important class of structural econometric models (nonlinear rational expectations,option pricing, auction models,...) characterize observable variables as highly nonlinear transformations of some latent variables. These transformations are one-to-one but they depend on the unknown...
Persistent link: https://www.econbiz.de/10005779421
In this paper, we survey some of the recent nonparapmetric estimation methods which were developed to price derivative contracts. We focus on equity options and staart with a so-called model-free approach which involves very little financial theory. Next we discuss nonparametric and...
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The GARCH and Stochastic Volatility paradigms are often brought into conflict as two competitive views of the appropriate conditional variance concept: conditional variance given past values of the same series or conditional variance given a larger past information (including possibly...
Persistent link: https://www.econbiz.de/10005639384
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This paper is interested in small sample properties of the indirect inference procedure which has been previously studied only from an asymptotic point of view. First, we highlight the fact that the Andrews(1993) median-bias correction procedure for autoregresssive parameter of an AR(1) process...
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