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Estimating the price impact of trades in a high-frequency microstructure model with jumps
Jondeau, Eric; Lahaye, Jérôme; Rockinger, Michael - In: Journal of banking & finance 61 (2015) 2, pp. 205-224
Persistent link: https://www.econbiz.de/10011585573
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Testing for nonlinear structure and chaos in economic time series : a comment
Hommes, Cars H.; Manzan, Sebastiano - 2005 - August 2005, Journal of Macroeconomics, forthcoming
This short paper is a comment on ``Testing for Nonlinear Structure and Chaos in Economic Time Series'' by Catherine Kyrtsou and Apostolos Serletis. We summarize their main results and discuss some of their conclusions concerning the role of outliers and noisy chaos. In particular, we include...
Persistent link: https://www.econbiz.de/10011349217
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Modeling risk premia in forward foreign exchange rates as unobserved components : the model identification problem
Chouikh, Aziz; Trabelsi, Abdelwahed - In: International journal of financial research 5 (2014) 3, pp. 119-135
Persistent link: https://www.econbiz.de/10010458557
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Changes in individual and/or aggregate?
Hey, John Denis; Pace, Noemi - In: Applied economics letters 22 (2015) 1/3, pp. 180-183
Persistent link: https://www.econbiz.de/10010481982
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Estimation of correlations in portfolio credit risk models based on noisy security prices
Boudreault, Mathieu; Gauthier, Geneviève; Thomassin, Tommy - In: Journal of economic dynamics & control 61 (2015), pp. 334-349
Persistent link: https://www.econbiz.de/10011589542
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Quantifying noise in survey expectations
Juodis, Artūras; Kucinskas, Simas - In: Quantitative economics : QE ; journal of the … 14 (2023) 2, pp. 609-650
bias (systematic mistakes) or noise (unsystematic mistakes). We develop a framework for quantifying the level of noise in … structure for individual expectations. Using data from professional forecasters, we find that the magnitude of noise is large …
Persistent link: https://www.econbiz.de/10014308585
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Kernel convergence estimates for diffusions with continuous coefficients
Albanese, Claudio - In: International journal of theoretical and applied finance 14 (2011) 7, pp. 979-1004
Persistent link: https://www.econbiz.de/10009407684
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Adaptive stochastic risk estimation of firm operating profit
Akca, Ahmet; Çanakoğlu, Ethem - In: Journal of industrial and business economics 48 (2021) 3, pp. 463-504
Persistent link: https://www.econbiz.de/10012621417
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A path-integral approximation for non-linear diffusions
Capriotti, Luca - In: Quantitative finance 20 (2020) 1, pp. 29-36
Persistent link: https://www.econbiz.de/10012194852
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Folded Variance Estimators for Stationary Time Series
Antonini, Claudia - 2005
This thesis is concerned with simulation output analysis. In particular, we are inter-ested in estimating the variance parameter of a steady-state output process. The estimationof the variance parameter has immediate applications in problems involving (i) the precisionof the sample mean as a...
Persistent link: https://www.econbiz.de/10009476105