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Essays in the econometrics of dynamic duration models with application to tick by tick financial data
Galli, Fausto - 2009
Persistent link: https://www.econbiz.de/10003986565
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The empirical performance of option based densities of foreign exchange
Craig, Ben R.; Keller, Joachim G. - 2002
Risk neutral densities (RND) can be used to forecast the price of the underlying basis for the option, or it may be used to price other derivates based on the same sequence. The method adopted in this paper to calculate the RND is to firts estimate daily the diffusion process of the underlying...
Persistent link: https://www.econbiz.de/10001656178
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Analyzing specialist's quoting behaviour : a trade-by-trade study on the NYSE
Nyholm, Ken - 1998
Persistent link: https://www.econbiz.de/10001373117
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Maximum likelihood estimation for correctly specified generalized autoregressive score models : feedback effects, contraction conditions and asymptotic properties
Blasques, Francisco; Koopman, Siem Jan; Lucas, André - 2014
The strong consistency and asymptotic normality of the maximum likelihood estimator in observation-driven models usually requires the study of the model both as a filter for the time-varying parameter and as a data generating process (DGP) for observed data. The probabilistic properties of the...
Persistent link: https://www.econbiz.de/10010364739
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A (semi)parametric functional coefficient logarithmic autoregressive conditional duration model
Fernandes, Marcelo; Medeiros, Marcelo C.; Veiga, Alvaro - In: Econometric reviews 35 (2016) 5/7, pp. 1221-1250
Persistent link: https://www.econbiz.de/10011591186
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Predictive recursion maximum likelihood of threshold autoregressive model
Pathairat Pastpipatkul; Woraphon Yamaka; Songsak … - In: Robustness in econometrics, (pp. 349-362). 2017
Persistent link: https://www.econbiz.de/10011801427
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Zinsmodelle in der stochastischen Optimierung : mit Anwendungen im Asset- & Liability-Management
Schürle, Michael - 1998
Persistent link: https://www.econbiz.de/10000672590
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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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The empirical performance of option based densities of foreign exchange
Craig, Ben R.; Keller, Joachim G. - 2002
Risk neutral densities (RND) can be used to forecast the price of the underlying basis for the option, or it may be used to price other derivates based on the same sequence. The method adopted in this paper to calculate the RND is to firts estimate daily the diffusion process of the underlying...
Persistent link: https://www.econbiz.de/10011431367