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This article evaluates the economic benefit of methods that have been suggested to optimally sample (in an MSE sense) high-frequency return data for the purpose of realized variance/covariance estimation in the presence of market microstructure noise (Bandi and Russell, 2005a, 2008). We compare...
Persistent link: https://www.econbiz.de/10005476176
The directed cognition model assumes that agents use partially myopic option-value calculations to select their next cognitive operation. The current paper tests this model by studying information acquisition in two experiments. In the first experiment, information acquisition has an explicit...
Persistent link: https://www.econbiz.de/10005241167
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In this paper we provide a simple locally interactive dynamic model of technology choice and output production. We assume a Cobb-Douglas type production function for two available technologies. The returns to technology 0 are not affected by local spillovers. Technology 1 is more costly, as...
Persistent link: https://www.econbiz.de/10009458649
The main objective of this paper is to propose a feasible, model free estimator of the predictive density of integrated volatility. In this sense, we extend recent papers by Andersen et a]. [Andersen, T.G., Bollerslev,T., Diebold, FX, Labys, P., 2003. Modelling and forecasting realized...
Persistent link: https://www.econbiz.de/10009468887
This article makes two contributions. First, we outline a simple simulation-based framework for constructing conditional distributions for multifactor and multidimensional diffusion processes, for the case where the functional form of the conditional density is unknown. The distributions can be...
Persistent link: https://www.econbiz.de/10009468945
This paper reconsiders a block bootstrap procedure for Quasi Maximum Likelihood estimation of GARCH models, based on the resampling of the likelihood function, as proposed by Goncalves and White [2004. Maximum likelihood and the bootstrap for nonlinear dynamic models. journal of Econometrics...
Persistent link: https://www.econbiz.de/10009469027
Abstract In this paper we provide a simple locally interactive dynamic model of technology choice and output production. We assume a Cobb-Douglas type production function for two available technologies. The returns to technology 0 are not affected by local spillovers. Technology 1 is more...
Persistent link: https://www.econbiz.de/10014588358
Persistent link: https://www.econbiz.de/10012082777
Persistent link: https://www.econbiz.de/10005428810