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Estimation of semiparametric locally stationary diffusion models
Koo, Bonsoo; Linton, Oliver - In: Journal of Econometrics 170 (2012) 1, pp. 210-233
This paper proposes a class of locally stationary diffusion processes. The model has a time varying but locally linear drift and a volatility coefficient that is allowed to vary over time and space. The model is semiparametric because we allow these functions to be unknown and the innovation...
Persistent link: https://www.econbiz.de/10010664686
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Estimation of a nonlinear panel data model with semiparametric individual effects
Gayle, Wayne-Roy; Namoro, Soiliou Daw - In: Journal of Econometrics 175 (2013) 1, pp. 46-59
show the estimators of the finite-dimensional parameters are root-N consistent with a Gaussian limiting distribution. We …
Persistent link: https://www.econbiz.de/10010664688
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Regression towards the mode
Kemp, Gordon C.R.; Santos Silva, J.M.C. - In: Journal of Econometrics 170 (2012) 1, pp. 92-101
show that the proposed estimator is consistent and has a tractable asymptotic distribution. …
Persistent link: https://www.econbiz.de/10010664697
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The efficient modelling of high frequency transaction data: A new application of estimating functions in financial economics
Allen, David; Ng, K.H.; Peiris, Shelton - In: Economics Letters 120 (2013) 1, pp. 117-122
This paper investigates the Estimating Function method in the context of ACD modelling and appraises the properties of these estimates. A simulation study is conducted to demonstrate that these estimates are more efficient than the corresponding ML and QML estimates.
Persistent link: https://www.econbiz.de/10010665682
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Time-Varying Volatility Asymmetry: A Conditioned HAR-RV(CJ) EGARCH-M Model
Ceylan, Ozcan - Galatasaray Üniversitesi İktisadi Araştırmalar … - 2012
condition the variance specification on the lagged realized variance and the risk aversion (that is proxied by the variance risk … asymmetry is clearly more pronounced in the periods of market stress marked by high levels of volatility and risk aversion. In … market moves through the periods of higher volatility and risk aversion, the impact of a bad news increases much more heavily …
Persistent link: https://www.econbiz.de/10010840309
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Estimation of Elasticity Price of Electricity with Incomplete Information
Labandeira, Xavier; Labeaga, José M.; López-Otero, Xiral - Economics for Energy - 2010
The sharp increase in energy prices and growing concern on environmental issues, among other things, are behind the renewed interest in energy demand estimation. However, there is sparce academic literature that takes the real situation of energy suppliers into account: high quality but...
Persistent link: https://www.econbiz.de/10010843560
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Energy Demand for Heating in Spain: An Empirical Analysis with Policy Purposes
Labandeira, Xavier; Labeaga, José M.; López-Otero, Xiral - Economics for Energy - 2011
Household energy consumption, mostly due to residential heating, is a large component of energy demand in developed countries and thus a target for public policies aimed at reducing negative environmental effects and energy dependence. This paper uses detailed Spanish household micro data to...
Persistent link: https://www.econbiz.de/10010843562
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Edgeworth expansion for functionals of continuous diffusion processes
Podolskij, Mark; Yoshida, Nakahiro - School of Economics and Management, University of Aarhus - 2013
This paper presents new results on the Edgeworth expansion for high frequency functionals of continuous diffusion processes. We derive asymptotic expansions for weighted functionals of the Brownian motion and apply them to provide the Edgeworth expansion for power variation of diffusion...
Persistent link: https://www.econbiz.de/10010851189
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Goodness-of-fit testing for fractional diffusions
Podolskij, Mark; Wasmuth, Katrin - School of Economics and Management, University of Aarhus - 2012
This paper presents a goodness-of-fit test for the volatility function of a SDE driven by a Gaussian process with stationary and centered increments. Under rather weak assumptions on the Gaussian process, we provide a procedure for testing whether the unknown volatility function lies in a given...
Persistent link: https://www.econbiz.de/10010851227
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A test for the rank of the volatility process: the random perturbation approach
Jacod, Jean; Podolskij, Mark - School of Economics and Management, University of Aarhus - 2012
In this paper we present a test for the maximal rank of the matrix-valued volatility process in the continuous Itô semimartingale framework. Our idea is based upon a random perturbation of the original high frequency observations of an Itô semimartingale, which opens the way for rank testing....
Persistent link: https://www.econbiz.de/10010851228