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Consistent, positive definite covariance matrix estimation of Heckman's two-step estimators

Ryu, Keunkwan - In: Journal of economic theory and econometrics : journal … 2 (1996) 2, pp. 65-75

Persistent link: https://www.econbiz.de/10001561226

Large scale conditional covariance matrix modeling, estimation and testing

Ding, Zhuanxin; Engle, Robert F. - In: Jingji-lunwen 29 (2001) 2, pp. 157-184

Persistent link: https://www.econbiz.de/10001652987

Semiparametric estimation with generated covariates

Mammen, Enno; Rothe, Christoph; Schienle, Melanie - 2011

In this paper, we study a general class of semiparametric optimization estimators of a vector-valued parameter. The criterion function depends on two types of infinite-dimensional nuisance parameters: a conditional expectation function that has been estimated nonparametrically using generated...

Persistent link: https://www.econbiz.de/10009349196

An estimator for the quadratic covariation of asynchronously observed Itô processes with noise : asymptotic distribution theory

Bibinger, Markus - 2011

distribution theory for a generalized multiscale estimator including a feasible central limit theorem with optimal convergence rate …

Persistent link: https://www.econbiz.de/10009151649

Asymptotics of asynchronicity

Bibinger, Markus - 2011

In this article we focus on estimating the quadratic covariation of continuous semimartingales from discrete observations that take place at asynchronous observation times. The Hayashi-Yoshida estimator serves as synchronized realized covolatility for that we give our own distinct illustration...

Persistent link: https://www.econbiz.de/10009151650

Correlation analysis of financial contagion : what one should know before running a test

Corsetti, Giancarlo; Pericoli, Marcello; Sbracia, Massimo - 2001

This paper builds a general test of contagion in financial markets based on bivariate correlation analysis - a test … that can be interpreted as an extension of the normal correlation theorem. Contagion is defined as a structural break in … contributions in the literature as special cases of our test. We show that, while the literature on correlation analysis of …

Persistent link: https://www.econbiz.de/10011609589