Showing 1 - 10 of 82
This paper looks at some recent work on estimating quadratic variation using realized variance (RV) - that is, sums of M squared returns. This econometrics has been motivated by the advent of the common availability of high-frequency financial return data. When the underlying process is a...
Persistent link: https://www.econbiz.de/10009441446
This article shows that realized power variation and its extension, realizedbipower variation, which we introduce here, are somewhat robust to rarejumps. We demonstrate that in special cases, realized bipower variation estimates integrated variance in stochastic volatility models, thus providing...
Persistent link: https://www.econbiz.de/10009441547
In this article we provide an asymptotic distribution theory for some nonparametric tests of the hypothesis that asset prices have continuous sample paths. We study the behaviour of the tests using simulated data and see that certain versions of the tests have good finite sample behavior. We...
Persistent link: https://www.econbiz.de/10009441541
This dissertation consists of three related chapters that study financial market volatility,jumps and the economic factors behind them. Each of the chapters analyzes adifferent aspect of this problem.The first chapter examines tests for jumps based on recent asymptotic results.Monte Carlo...
Persistent link: https://www.econbiz.de/10009475503
Thesis (Ph. D.)--University of Rochester. Dept. of Economics, 2010.
Persistent link: https://www.econbiz.de/10009482965
, such as a regression function, and treating it as a conditional expectation is central to its identification and estimation … identification related properties of this model when the unknown function mu* belongs to a linear space. We also investigate … underidentification of mu* along with the identification of its linear functionals. Several examples are provided in order to develop …
Persistent link: https://www.econbiz.de/10009430113
The alleged privacy paradox states that individuals report high values for personal privacy, while at the same time they report behavior that contradicts a high privacy value. This is a misconception. Reported privacy behaviors are explained by asymmetric subjective beliefs. Beliefs may or may...
Persistent link: https://www.econbiz.de/10009431062
inflation dynamics. In this thesis, we address the issues of identification which have been overlooked due to the incompleteness … inference under weak identification, pertaining to situations in which only functions of the parameters of interest are …-modelled variables cannot be weakly exogenous for the parameters of interest, and that they are informative about the identification and …
Persistent link: https://www.econbiz.de/10009441413
resource company and confirms the call for a more robust identification process. Inaddition the paper maps each indirect costs … factor to the lifecycle stage(s) in which it occurs andpresents the factors that influence the quality of the identification …
Persistent link: https://www.econbiz.de/10009465383
best of our knowledge, this is the first model that facilitates the identification in the case of direct network effects …
Persistent link: https://www.econbiz.de/10009467122