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Essays on partial identification in econometrics and finance

Galichon, Alfred - 2007

Persistent link: https://www.econbiz.de/10009691355

Identification and estimation of average partial effects in "irregular" correlated random coefficient panel data models

Graham, Bryan S.; Powell, James - In: Econometrica : journal of the Econometric Society, an … 80 (2012) 5, pp. 2105-2152

Persistent link: https://www.econbiz.de/10009665470

Realized covariance tick-by-tick in presence of rounded time stamps and general microstructure effects

Corsi, Fulvio; Audrino, Francesco - In: Journal of financial econometrics : official journal of … 10 (2012) 4, pp. 591-616

Persistent link: https://www.econbiz.de/10009671897

Spectral estimation of covolatility from noisy observations using local weights

Bibinger, Markus; Reiß, Markus - 2011

noise model with correlation and volatility processes being constant over small intervals. The asymptotic equivalence of the …

Persistent link: https://www.econbiz.de/10009388782

Efficient probit estimation with partially missing covariates

Conniffe, Denis; O'Neill, Donal - 2009

A common approach to dealing with missing data is to estimate the model on the common subset of data, by necessity throwing away potentially useful data. We derive a new probit type estimator for models with missing covariate data where the dependent variable is binary. For the benchmark case of...

Persistent link: https://www.econbiz.de/10003829113

Estimating asset correlations from stock prices or default rates : which method is superior?

Düllmann, Klaus (contributor); Küll, Jonathan (contributor) - 2008

institutions. By means of a simulation study, we explore the hypothesis that differences in the correlation estimates are due to a … substantial downward bias characteristic of estimates based on default rates. Our results suggest that correlation estimates from … to explain the differences in correlation estimates. Furthermore, our results help to quantify the estimation error of …