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Efficient Derivative Pricing By The Extended Method of Moments

GAGLIARDINI, Patrick; GOURIEROUX, Christian; RENAULT, Eric - 2004

In this paper we introduce the Extended Method of Moments (XMM) estimator. This estimator accommodates a more general set of moment restrictions than the standard Generalized Method of Moments (GMM) estimator. More specifically, the XMM differs from the GMM in that it can handle not only uniform...

Persistent link: https://www.econbiz.de/10008922932

Trends non linéaires et co-trending dans le taux de change réel effectif du dinar tunisien

Bouoiyour, Jamal; Marimoutou, Velayoudoum; Rey, Serge - Volkswirtschaftliche Fakultät, … - 2003

We study the relationships between the real effective exchange rate (REER) of the Tunisian dinar and its determinants/fundamentals, i.e. the ratio of trade balance/GDP, the ratio of public consumption/GDP, the openness rate and the terms of trade. We find that in the most of cases, the variables...

Persistent link: https://www.econbiz.de/10008924806

The Variance Profile

Luati, Alessandra; Proietti, Tommaso; Reale, Marco - Volkswirtschaftliche Fakultät, … - 2011

The variance profile is defined as the power mean of the spectral density function of a stationary stochastic process. It is a continuous and non-decreasing function of the power parameter, p, which returns the minimum of the spectrum (p → −∞), the interpolation error variance (harmonic...

Persistent link: https://www.econbiz.de/10009001193

Nonparametric Detection and Estimation of Structural Change

Kristensen, Dennis - School of Economics and Management, University of Aarhus - 2011

We propose a nonparametric approach to the estimation and testing of structural change in time series regression models. Under the null of a given set of the coefficients being constant, we develop estimators of both the nonparametric and parametric components. Given the estimators under null...

Persistent link: https://www.econbiz.de/10009003125

Robust estimation of integrated variance and quarticity under flat price and no trading bias

Schulz, Frowin C. - Seminar für Wirtschafts- und Sozialstatistik, … - 2010

This paper investigates a selection of methods disentangling contributions from price jumps to realized variance. Flat prices (consecutively sampled prices in calendar time with the same value) and no trading (no price observation at sampling points), both frequently occurring stylized facts in...

Persistent link: https://www.econbiz.de/10009019656

Nonparametric inference for second order stochastic dominance

Schmid, Friedrich; Trede, Mark - Seminar für Wirtschafts- und Sozialstatistik, … - 1996

distribution functions are unknown they have to be inferred from observed realizations. Thus, any results on stochastic dominance … paper are relevant in various fields such as finance, life testing and decision under risk. …

Persistent link: https://www.econbiz.de/10009021669

Penalized Sieve Estimation and Inference of Semi-Nonparametric Dynamic Models: A Selective Review

Chen, Xiaohong - Cowles Foundation for Research in Economics, Yale University - 2011

In this selective review, we first provide some empirical examples that motivate the usefulness of semi-nonparametric techniques in modelling economic and financial time series. We describe popular classes of semi-nonparametric dynamic models and some temporal dependence properties. We then...

Persistent link: https://www.econbiz.de/10009024410

Stochastic frontier models

Wang, Hung-Jen - Volkswirtschaftliche Fakultät, … - 2006

The stochastic frontier model was first proposed in the context of production function estimation to account for the effect of technical inefficiency. The inefficiency causes actual output to fall below the potential level (that is, the production frontier) and also raises production cost above...

Persistent link: https://www.econbiz.de/10009025317

Why do variance swaps exist?

Novales, Alfonso; Nieto, Belén; Rubio, Gonzalo - Facultad de Ciencias Económicas y Empresariales, … - 2011

distribution of market returns. But the uncertainty that determines the variance risk premium –the fear by investors to deviations …This paper studies the determinants of the variance risk premium and concludes on the hedging possibilities offered by … variance swaps. We start by showing that the variance risk premium responds to changes in higher order moments of the …

Persistent link: https://www.econbiz.de/10009141347

Variance Swaps and Intertemporal Asset Pricing

Novales, Alfonso; Nieto, Belén; Rubio, Gonzalo - Facultad de Ciencias Económicas y Empresariales, … - 2011

This paper proposes an ICAPM in which the risk premium embedded in variance swaps is the factor mimicking portfolio for … deviations from Normality in the distribution of returns are able to explain time-varying financial and macroeconomic risks in … addition to being a determinant of the variance risk premium. Moreover, variance swaps hedges unfavorable changes in the …

Persistent link: https://www.econbiz.de/10009141356