We introduce a novel semi-parametric estimator of American option prices in discrete time. The specification is based on a parameterized stochastic discount factor and is nonparametric w.r.t. the historical dynamics of the Markovian state variables. The historical transition density estimator...

This paper investigates the technical inefficiency, shadow price and substitution elasticity of CO2 emissions of China based on a provincial panel for 2001-2010. Using linear programming to calculate a quadratic parameterized directional output distance function, we show that China’s technical...

In this paper we compare through Monte Carlo simulations the finite sample properties of estimators of the fractional differencing parameter, d. This involves frequency domain, time domain, and wavelet based approaches and we consider both parametric and semiparametric estimation methods. The...

We explore the emissions income relationship for CO2 in OECD countries using various modelling strategies.Even for this relatively homogeneous sample, we find that the inverted-U-shaped curve is quite sensitive to the degree of heterogeneity included in the panel estimations.This finding is...

This paper shows that the Fed reacts to change in spreads between corporate bond yields and government bond yields over and beyond their information content on future inflation and future activity. This result, obtained in a GMM framework, is confirmed by simulation methods. Moreover, when...

In this paper we compare through Monte Carlo simulations the finite sample properties of estimators of the fractional differencing parameter, d. This involves frequency domain, time domain, and wavelet based approaches and we consider both parametric and semiparametric estimation methods. The...

In this paper we examine the usefulness of multivariate semi-parametric GARCH models for portfolio selection under a Value-at-Risk (VaR) constraint. First, we specify and estimate several alternative multivariate GARCH models for daily returns on the S\&P 500 and Nasdaq indexes. Examining the...