the implementation of the spectral estimation procedures for Lévy models of finite jump activity as well as for self …

We show by Monte Carlo simulations that the jackknife estimation of QUENOUILLE (1956) provides substantial bias … reduction for the estimation of short-term interest rate models applied in CHAN ET AL. (1992) - hereafter CKLS (1992). We find … that an alternative estimation based on NOWMAN (1997) does not sufficiently solve the problem of time aggregation. We …

models based on prices of European options. This is done by showing joint asymptotic normality for the estimation of the …

Likelihood theory. The method works well in praxis as illustrated on the DAX option prices data. …

with nonparametric estimation of the pricing kernel (Empirical Pricing Kernel) given by the ratio of the risk … estimated nonparametrically too. In this framework, we develop the asymptotic distribution theory of the EPK in the L1 sense …, as an alternative to the asymptotic approach, we propose a bootstrap confidence band. The developed theory is helpful for …