A common model for security price dynamics is the continuous time stochastic volatility model. For this model, Hull and White (1987) show that the price of a derivative claim is the conditional expectation of the Black-Scholes price with the forward integrated variance replacing the...

We describe a simulated method of moments estimator that is implemented by choosing the vector valued moment function to be the expectation under the structural model of the score function of an auxiliary model, where the parameters of the auxiliary model are eliminated by replacing them with...

Efficient Method of Moments (EMM) is used to fit the standard stochastic volatility model and various extensions to several daily financial time series. EMM matches to the score of a model determined by data analysis called the score generator. Discrepancies reveal characteristics of data that...

We describe a computationally intensive methodology for the estimation and analysis of partially observable nonlinear systems. An example from epidemiology is the SEIR model, which is a system of differential equations with random coefficients that describe a population in terms of four state...

This paper evaluates the role of various volatility specifications, such as multiple stochastic volatility (SV) factors and jump components, in appropriate modeling of equity return distributions. We use estimation technology that facilitates non-nested model comparisons and use a long data set...

The paper develops an approach for analyzing the dynamics of a nonlinear time series that is represented by a nonparametric estimate of its one-step ahead conditional density. The approach entails examination of conditional moment profiles corresponding to certain shocks; a conditional moment...

This dissertation consists of three related chapters that study financial market volatility,jumps and the economic factors behind them. Each of the chapters analyzes adifferent aspect of this problem.The first chapter examines tests for jumps based on recent asymptotic results.Monte Carlo...

estimates and examines the empirical plausibility of asset pricing models that attempt to explain features of financial markets such as the size of the equity premium and the volatility of the stock market. In one model, the long-run risks (LRR) model of Bansal and Yaron, low-frequency...

describes the use of the Gallant-Tauchen efficient method of moments (EMM) technique for diagnostic checking of stochastic differential equations (SDEs) estimated from financial market data. The EMM technique is a simulation-based method that uses the score function of an auxiliary model as the...

A common model for security price dynamics is the continuous-time stochastic volatility model. For this model, Hull and White (1987) show that the price of a derivative claim is the conditional expectation of the Black-Scholes price with the forward integrated variance replacing the...