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Realized volatility and correlation estimators under non-Gaussian microstructure noise

Safari, Amir; Sun, Wei; Seese, Detlef G.; Račev, … - In: Economic dynamics : theory, games and empirical studies, (pp. 171-197). 2009

Persistent link: https://www.econbiz.de/10003867880

Realized volatility and correlation estimators under non-Gaussian microstructure noise

Safari, Amir; Sun, Wei; Seese, Detlef G.; Račev, … - 2012

Persistent link: https://www.econbiz.de/10009579904

Structural estimation of auction models

Shum, Matthew (contributor) - 1998 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10001591800

Nonparametric estimation of demand elasticities using panel data

Hoderlein, Stefan; Shum, Matthew - 2014

Persistent link: https://www.econbiz.de/10011508477

A simple estimator for dynamic models with serially correlated unobservables

Hu, Yingyao; Shum, Matthew; Tan, Wei; Xiao, Ruli - 2015

Persistent link: https://www.econbiz.de/10011449839

Estimation of random coefficients logit demand models with interactive fixed effects

Moon, Hyungsik Roger; Shum, Matthew; Weidner, Martin - In: Journal of econometrics 206 (2018) 2, pp. 613-644

Persistent link: https://www.econbiz.de/10012110420

Estimation of random coefficients logit demand models with interactive fixed effects

Moon, Hyungsik Roger; Shum, Matthew; Weidner, Martin - 2017 - This version: February 15, 2017

We extend the Berry, Levinsohn and Pakes (BLP, 1995) random coeffcients discrete-choice demand model, which underlies much recent empirical work in IO. We add interactive fixed effects in the form of a factor structure on the unobserved product characteristics. The interactive fixed effects can...

Persistent link: https://www.econbiz.de/10011603891

Estimation and inference in an ecological inference model

Fan, Yanqin; Sherman, Robert P.; Shum, Matthew - In: Journal of econometric methods 5 (2016) 1, pp. 17-48

Persistent link: https://www.econbiz.de/10011865019

A simple estimator for dynamic models with serially correlated unobservables

Hu, Yingyao; Shum, Matthew; Tan, Wei; Xiao, Ruli - In: Journal of econometric methods 6 (2017) 1, pp. 1-16

Persistent link: https://www.econbiz.de/10011944547

Econometric models of asymmetric ascending auctions

Hong, Han; Shum, Matthew - In: Journal of econometrics 112 (2003) 2, pp. 327-358

Persistent link: https://www.econbiz.de/10001731322