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Uniform nonparametric series inference for dependent data with an application to the search and matching model
Li, Jia; Liao, Zhipeng - 2018
size. The strong approximation is first proved for heterogeneous martingale difference arrays and then extended to general … mixingales via martingale approximation, readily accommodating a majority of applications in applied econometrics. We use these …–Pissarides search and matching model for equilibrium unemployment, and shed new light on the unemployment volatility puzzle from an …
Persistent link: https://www.econbiz.de/10012117544
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Optimal inference in dynamic models with conditional moment restrictions
Christensen, Bent Jesper (contributor);  … - 2008
Persistent link: https://www.econbiz.de/10003774664
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Martingales, nonlinearity, and chaos
Barnett, William A.; Serletis, Apostolos - 2012
Persistent link: https://www.econbiz.de/10009732498
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On covariation estimation for multivariate continuous Itô semimartingales with noise in non-synchronous observation schemes
Christensen, Kim; Podolskij, Mark; Vetter, Mathias - 2011
Persistent link: https://www.econbiz.de/10009413031
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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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Generalized ARMA models with martingale difference errors
Zheng, Tingguo; Xiao, Han; Chen, Rong - In: Journal of econometrics 189 (2015) 2, pp. 492-506
Persistent link: https://www.econbiz.de/10011504639
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On the estimation of integrated volatility with jumps and microstructure noise
Jing, Bingyi; Liu, Zhi; Kong, Xinbing - In: Journal of business & economic statistics : JBES ; a … 32 (2014) 3, pp. 457-467
Persistent link: https://www.econbiz.de/10010488463
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Discrete-time martingale convergence results and nonlinear estimation using time-series data
Los, Cornelis A. - 1982 - Rev
Persistent link: https://www.econbiz.de/10002494395
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Asymptotic theory for range-based estimation of integrated variance of a continuous semi-martingale
Christensen, Kim (contributor); Podolski, Mark (contributor) - 2005
We provide a set of probabilistic laws for range-based estimation of integrated variance of a continuous semi-martingale …
Persistent link: https://www.econbiz.de/10003084858
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On Covariation Estimation for Multivariate Continuous Itô Semimartingales with Noise in Non-Synchronous Observation Schemes
Christensen, Kim - 2014
This paper presents a Hayashi-Yoshida type estimator for the covariation matrix of continuous Itô semimartingales observed with noise. The coordinates of the multivariate process are assumed to be observed at highly frequent nonsynchronous points. The estimator of the covariation matrix is...
Persistent link: https://www.econbiz.de/10013066163