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Let's get LADE : robust estimation of semiparametric multiplicative volatility models

Koo, Bonsoo; Linton, Oliver - 2013

robust estimation of both long-run and short-run volatilities. Our estimation is semiparametric since the long-run volatility …

Persistent link: https://www.econbiz.de/10009719116

Pseudo-Maximum Likelihood Estimation in Two Classes of Semiparametric Diffusion Models

Kristensen, Dennis - School of Economics and Management, University of Aarhus - 2009

A novel estimation method for two classes of semiparametric scalar diffusion models is proposed: In the first class …

Persistent link: https://www.econbiz.de/10008527073

Semi-Nonparametric Estimation and Misspecification Testing of Diffusion Models

Kristensen, Dennis - School of Economics and Management, University of Aarhus - 2010

Novel transition-based misspeci?cation tests of semiparametric and fully parametric univariate diffusion models based …

Persistent link: https://www.econbiz.de/10008462024

The Asymptotic Distribution of Nonparametric Estimates of the Lyapunov Exponent for Stochastic Time Series

Whang, Yoon-Jae; Linton, Oliver - Cowles Foundation for Research in Economics, Yale University - 1997

This paper derives the asymptotic distribution of a smoothing-based estimator of the Lyapunov exponent for a stochastic time series under two general scenarios. In the first case, we are able to establish root-T consistency and asymptotic normality, while in the second case, which is more...

Persistent link: https://www.econbiz.de/10005593525

Efficient Regression in Time Series Partial Linear Models

Phillips, Peter C.B.; Guo, Binbin; Xiao, Zhijie - Cowles Foundation for Research in Economics, Yale University - 2002

This paper studies efficient estimation of partial linear regression in time series models. In particular, it combines two topics that have attracted a good deal of attention in econometrics, viz. spectral regression and partial linear regression, and proposes an efficient frequency domain...

Persistent link: https://www.econbiz.de/10005593565

Semi-Nonparametric Estimation and Misspecification Testing of Diffusion Models

Kristensen, Dennis - Økonomisk Institut, Københavns Universitet - 2010

We propose novel misspecification tests of semiparametric and fully parametric univariate diffusion models based on the …

Persistent link: https://www.econbiz.de/10008512968

Risk components in UK cross-sectional equities: evidence of regimes and overstated parametric estimates

Rossi, Francesco - Volkswirtschaftliche Fakultät, … - 2011

We study the behavior and interaction of systematic and idiosyncratic components of risk in a cross-section of U.K. stocks. We find no clear evidence of a trend in any component of total risk, but we document different “regimes” in the behavior of each component of total risk, in their...

Persistent link: https://www.econbiz.de/10011261127

Realized Copula

Fengler, Matthias R.; Okhrin, Ostap - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2012

We introduce the notion of realized copula. Based on assumptions of the marginal distri- butions of daily stock returns and a copula family, realized copula is dened as the copula structure materialized in realized covariance estimated from within-day high-frequency data. Copula parameters are...

Persistent link: https://www.econbiz.de/10010549032

Realized Copula

Fengler, Matthias; Okhrin, Ostap - School of Economics and Political Science, Universität … - 2012

We introduce the notion of realized copula. Based on assumptions of the marginal distributions of daily stock returns and a copula family, realized copula is defined as the copula structure materialized in realized covariance estimated from within-day highfrequency data. Copula parameters are...

Persistent link: https://www.econbiz.de/10010550484

Semiparametric inference in a GARCH-in-mean model

Christensen, Bent Jesper; Dahl, Christian M.; Iglesias, … - In: Journal of Econometrics 167 (2012) 2, pp. 458-472

A new semiparametric estimator for an empirical asset pricing model with general nonparametric risk-return tradeoff and … efficient, i.e., it achieves the semiparametric lower bound. A sampling experiment provides finite sample comparisons with the … parametric approach and the iterative semiparametric approach with parametric initial estimate of Conrad and Mammen (2008). An …

Persistent link: https://www.econbiz.de/10010574076

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