with nonparametric estimation of the pricing kernel (Empirical Pricing Kernel) given by the ratio of the risk …

The estimation and the analysis of long memory parameters have mainly focused on the analysis of long-range dependence … memory requires major revisions in the standard estimation procedures without which the estimated results can be seriously …

This paper develops a method to improve the estimation of jump variation using high frequency data with the existence … of market microstructure noises. Accurate estimation of jump variation is in high demand, as it is an important component …-step procedure with detection and estimation. In Step 1, we detect the jump locations by performing wavelet transformation on the …

We propose a solution to the measurement error problem that plagues the estimation of the relation between the expected …

nonstationary. We also establish the estimation theory and asymptotic properties for these models in the short horizon and long …

estimation approach, e.g., for agent based microsimulation models or complex multifractal models, simulation based estimators …

This paper develops a new estimation procedure for characteristic-based factor models of security returns. We treat the …