¯nancial vari- ables, (2) to extend the solution technique of Marcet and Den Haan (1990) for those models by nonparametric … expectations and (3) to propose a new estimation procedure based on the above solution technique. To allow for nonparametric … estimation approach based on non-parametric expectations we are able to use full structural information and, consequently, Monte …

on recently developed realized variation measures and non-parametric jump detection statistics constructed from high …