of the maturity spectrum, stability of estimation and plausibility of the estimated curves. -- yield curve ; interest …

robust estimation of both long-run and short-run volatilities. Our estimation is semiparametric since the long-run volatility … propose different robust estimation methods for nonstationary and strictly stationary GARCH parameters with nonparametric long … run volatility function. Our estimation is based on a two-step LAD procedure. We establish the relevant asymptotic theory …

Generalized Method of Moments (GMM) estimation procedure to cope with the documented difficulties of previous methodologies. We … foreign exchange markets. -- Random Lognormal cascades ; GMM estimation ; best linear forecasting ; volatility of financial …

(the DM). We use monthly data from 1975:01 to 2007:12. Applying a novel time-varying coefficient estimation approach, we …

some markets and poorly in others, often yield negative or indeterminate estimates, and how to quantify estimation bias …. Estimation bias increases in liquid assets or when price volatility is high. This relationship implies that evaluation studies in …-sectional correlations. We then develop a theory-consistent method to calculate estimation bias bounds in any empirical context. Our bias …

-optimal portfolio only involves investment in the aforementioned funds. The loss of growth due to estimation error in fund models under … local frequentist estimation is determined entirely by the number of funds. Furthermore, under a general filtering framework … for Bayesian estimation, the loss of growth increases as the investment universe does. A shrinkage method that targets …

multivariate CKLS framework is employed for dynamic estimation and forecasting of four classical models over the eventful period of … potential benefit of gradually increasing the model-flexibility. The Gaussian estimation methods for dynamic continuous time …