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Testing the proportional odds model under random censoring
Dauxois, Jean-Yves; Kirmani, Syed N. U. A. - 2001
Persistent link: https://www.econbiz.de/10001572444
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Prozesse mit autoregressiver bedingter Heteroskedastie : empirische Ergebnisse für Wechselkurszeitreihen
Sanddorf-Köhle, Walter G. - 1996
Persistent link: https://www.econbiz.de/10013420743
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Tools and techniques
Aït-Sahalia, Yacine (ed.); Hansen, Lars Peter (ed.) - 2010
Persistent link: https://www.econbiz.de/10003898678
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Applications
Aït-Sahalia, Yacine (ed.); Hansen, Lars Peter (ed.) - 2010
Persistent link: https://www.econbiz.de/10003898680
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Bayesian estimation of a DSGE model with asset prices
Kliem, Martin; Uhlig, Harald - 2013
This paper presents a novel Bayesian method for estimating dynamic stochastic general equilibrium (DSGE) models subject to a constrained posterior distribution of the implied Sharpe ratio. We apply our methodology to a DSGE model with habit formation in consumption and leisure, using an estimate...
Persistent link: https://www.econbiz.de/10010192763
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Inference for the jump part of quadratic variation of Itô semimartingales
Veraart, Almut E. D. - In: Econometric theory 26 (2010) 2, pp. 331-368
Persistent link: https://www.econbiz.de/10003968591
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Data-driven jump detection thresholds for application in jump regressions
Davies, Robert; Tauchen, George Eugene - 2015
This paper develops a method to select the threshold in threshold-based jump detection methods. The method is motivated by an analysis of threshold-based jump detection methods in the context of jump-diffusion models. We show that over the range of sampling frequencies a researcher is most...
Persistent link: https://www.econbiz.de/10011524214
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Quadratic Hedging Schemes for Non-Gaussian GARCH Models
Badescu, Alex - 2014
Girsanov principle that generalizes Duan's (1995) delta hedge. Since the minimal martingale measure fails to produce a …
Persistent link: https://www.econbiz.de/10013065375
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Inference for the Jump Part of Quadratic Variation of Itô Semimartingales
Veraart, Almut - 2014
contribution of this paper is twofold. First, it provides a bivariate asymptotic limit theory for realised variance and realised … asymptotic variance of the estimation bias. Eventually, this leads to a feasible asymptotic theory which is applicable in … practice. Finally, Monte Carlo studies reveal a good finite sample performance of the proposed feasible limit theory …
Persistent link: https://www.econbiz.de/10012708910
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Asymptotic analysis for stochastic volatility : martingale expansion
Fukasawa, Masaaki - In: Finance and stochastics 15 (2011) 4, pp. 635-654
Persistent link: https://www.econbiz.de/10009423291