Similar Search Results

Robust GMM analysis of models for the short rate process

Dell'Aquila, Rosario; Ronchetti, Elvezio; Trojani, Fabio - In: Journal of empirical finance 10 (2003) 3, pp. 373-397

Persistent link: https://www.econbiz.de/10001752109

Robust small sample accurate inference in moment condition models

Lô, Serigne N. (contributor); … - 2006

Persistent link: https://www.econbiz.de/10003335766

Indirect robust estimation of the short-term interest rate process

Czellar, Veronika; Karolyi, G. Andrew; Ronchetti, Elvezio - In: Journal of empirical finance 14 (2007) 4, pp. 546-563

Persistent link: https://www.econbiz.de/10003609937

Indirect robust estimation of the short-term interest rate process

Czellar, Veronika (contributor); … - 2005

Persistent link: https://www.econbiz.de/10002846400

Indirect robust estimation of the short-term interest rate process

Czellar, Veronika (contributor); … - 2005

Persistent link: https://www.econbiz.de/10002634951

Robust inference with GMM estimators

Ronchetti, Elvezio; Trojani, Fabio - In: Journal of econometrics 101 (2001) 1, pp. 37-69

Persistent link: https://www.econbiz.de/10001545114

Saddlepoint approximations for spatial panel data models

Jiang, Chaonan; La Vecchia, Davide; Ronchetti, Elvezio; … - 2019

We develop new higher-order asymptotic techniques for the Gaussian maximum likelihood estimator of the parameters in a spatial panel data model, with fixed effects, time-varying covariates, and spatially correlated errors. We introduce a new saddlepoint density and tail area approximation to...

Persistent link: https://www.econbiz.de/10012003171