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Jump-Robust Volatility Estimation Using Nearest Neighbor Truncation

Andersen, Torben - 2009

alleviating finite sample biases arising from the pronounced intraday volatility pattern which afflict alternative jump …

Persistent link: https://www.econbiz.de/10013153975

Edgeworth Expansions for Realized Volatility and Related Estimators

Aït-Sahalia, Yacine; Zhang, Lan; Mykland, Per A. - 2021

This paper shows that the asymptotic normal approximation is often insufficiently accurate for volatility estimators …

Persistent link: https://www.econbiz.de/10013227785

The Time-Varying-Parameter Model as an Alternative to Arch for Modeling Changing Conditional Variance : the Case of Lucas Hypothesis

Nelson, Charles R. - 2010

The main econometric issue in testing the Lucas hypothesis (1973) in a times series context is the estimation of the variance conditional on past information. The ARCH model, proposed by Engle (1982), is one way of specifying the conditional variance. But the assumption underlying the ARCH...

Persistent link: https://www.econbiz.de/10012760032

Macroeconomics and Volatility : Data, Models, and Estimation

Fernández-Villaverde, Jesús - 2010

high volatility are followed by periods of low volatility. For instance, the turbulent 1970s were followed by the much more … tranquil times of the great moderation from 1984 to 2007. Modeling these movements in volatility is important to understand the … different mechanisms proposed in the literature to generate changes in volatility similar to the ones observed in the data …

Persistent link: https://www.econbiz.de/10013135053

Estimating Conditional Expectations When Volatility Fluctuates

Stambaugh, Robert F. - 2007

a GARCH process for conditional volatility. Under such heteroskedasticity, OLS estimators or parameters in single …

Persistent link: https://www.econbiz.de/10012778851

A Utility Based Comparison of Some Models of Exchange Rate Volatility

West, Kenneth D.; Edison, Hali J.; Cho, Dongchul - 2022

When estimates of variances are used to make asset allocation decisions, underestimates of population variances lead to lower expected utility than equivalent overestimates: a utility based criterion is asymmetric, unlike standard criteria such as mean squared error. To illustrate how to...

Persistent link: https://www.econbiz.de/10013322146

Multivariate Refression Models for Paned Data

Chamberlain, Gary - 2010

Under stationarity, the heterogeneous stoahastic processes are the non-ergodic ones. We show that if a distributed lag is of finite order, then its coefficients are unconditional means of the underlying random coefficients. This result is applied to linear transformations of the process. The...

Persistent link: https://www.econbiz.de/10012760070

Semiparametric Estimates of Monetary Policy Effects : String Theory Revisited

Angrist, Joshua D. - 2013

We develop a flexible semiparametric time series estimator that is then used to assess the causal effect of monetary policy interventions on macroeconomic aggregates. Our estimator captures the average causal response to discrete policy interventions in a macro-dynamic setting, without the need...

Persistent link: https://www.econbiz.de/10013076979

Semiparametrically Efficient Estimation of the Average Linear Regression Function

Graham, Bryan S. - 2018

Let Y be an outcome of interest, X a vector of treatment measures, and W a vector of pre-treatment control variables. Here X may include (combinations of) continuous, discrete, and/or non-mutually exclusive “treatments”. Consider the linear regression of Y onto X in a subpopulation...

Persistent link: https://www.econbiz.de/10012908172

Nonparametric Applications of Bayesian Inference

Chamberlain, Gary; Imbens, Guido - 2021

The paper evaluates the usefulness of a nonparametric approach to Bayesian inference by presenting two applications. The approach is due to Ferguson (1973, 1974) and Rubin (1981). Our first application considers an educational choice problem. We focus on obtaining a predictive distribution for...

Persistent link: https://www.econbiz.de/10013218983