We analyze identification of nonseparable models under three kinds of exogeneity assumptions weaker than full statistical independence. The first is based on quantile independence. Selection on unobservables drives deviations from full independence. We show that such deviations based on quantile...

This paper proposes computational framework for empirical estimation of Financial Agent-Based Models (FABMs) that does not rely upon restrictive theoretical assumptions. We customise a recent methodology of the Non-Parametric Simulated Maximum Likelihood Estimator (NPSMLE) based on kernel...

We provide general compactness results for many commonly used parameter spaces in nonparametric estimation. We consider three kinds of functions: (1) functions with bounded domains which satisfy standard norm bounds, (2) functions with bounded domains which do not satisfy standard norm bounds,...

We study nonparametric estimation of the volatility function of a diffusion process from discrete data, when the data are blurred by additional noise. This noise can be white or correlated, and serves as a model for microstructure effects in financial modeling, when the data are given on an...

We develop a two-step estimator for a class of Markov decision processes with continuous control that is intuitive and simple to implement. Making use of the monotonicity assumption we estimate the expected continuation value functions nonparametrically in the first stage. In the second stage...

This paper considers models of conditional moment restrictions that involve non-parametric functions of single-index nuisance parameters. This paper proposes a bootstrap method of constructing confidence sets which has the following three merits. First, the bootstrap is valid even when the...

We develop a minimum distance estimator for dynamic games of incomplete information. We take a two-step approach, following Hotz and Miller (1993), based on the pseudo-model that does not solve the dynamic equilibrium in order to circumvent the potential indeterminacy issues associated with...

This paper revisits the fractional cointegrating relationship between ex-ante implied volatility and ex-post realized volatility. We argue that the concept of corridor implied volatility (CIV) should be used instead of the popular model-free option-implied volatility (MFIV) when assessing the...

Semiparametric models are characterized by a finite- and infinite-dimensional (functional) component. As such they allow for added flexibility over fully parametric models, and at the same time estimators of parametric components can be developed that exhibit standard parametric convergence...

This short note describes some statistical tests and experiments for serial correlations of historical stock prices. More precisely, some parameters calculated via empirical characteristics functions are compared with the same parameters for time series with known degree of correlation