Showing 1 - 10 of 211
Generalized single-index models are natural extensions of linear models and circumvent the so-called curse of dimensionality. They are becoming increasingly popular in many scientific fields including biostatistics, medicine, economics and finan- cial econometrics. Estimating and testing the...
Persistent link: https://www.econbiz.de/10008577795
Measuring and modeling financial volatility is the key to derivative pricing, asset allocation and risk management. The recent availability of high-frequency data allows for refined methods in this field. In particular, more precise measures for the daily or lower frequency volatility can be...
Persistent link: https://www.econbiz.de/10005678039
We study a general class of semiparametric estimators when the innite-dimensional nuisance parameters include a conditional expectation function that has been estimated nonparametri- cally using generated covariates. Such estimators are used frequently to e.g. estimate nonlinear models with...
Persistent link: https://www.econbiz.de/10010895345
We analyze the properties of non- and semiparametric estimation procedures involving nonparametric regression with generated covariates. Such estimators appear in numerous econometric applications, including nonparametric estimation of simultaneous equation models, sample selection models,...
Persistent link: https://www.econbiz.de/10008753252
In this paper, we study a general class of semiparametric optimization estimators of a vector-valued parameter. The criterion function depends on two types of innite-dimensional nuisance parameters: a conditional expectation function that has been estimated nonparametrically using generated...
Persistent link: https://www.econbiz.de/10010607147
We present an object-oriented software framework allowing to specify, solve, and estimate nonlinear dynamic general equilibrium (DSGE) models. The imple- mented solution methods for nding the unknown policy function are the standard linearization around the deterministic steady state, and a...
Persistent link: https://www.econbiz.de/10005677881
In this paper, we study the dynamic interdependencies between high-frequency volatility, liquidity demand as well as trading costs in an electronic limit order book market. Using data from the Australian Stock Exchange we model 1-min squared mid-quote returns, average trade sizes, number of...
Persistent link: https://www.econbiz.de/10005677925
We present a comprehensive framework for Bayesian estimation of structural nonlinear dynamic economic models on sparse grids. TheSmolyak operator underlying the sparse grids approach frees global approximation from the curse of dimensionality and we apply it to a Chebyshev approximation of the...
Persistent link: https://www.econbiz.de/10005677995
In this paper uniform confidence bands are constructed for nonparametric quantile estimates of regression functions. The method is based on the bootstrap, where resampling is done from a suitably estimated empirical density function (edf) for residuals. It is known that the approximation error...
Persistent link: https://www.econbiz.de/10008476279
Financial risk control has always been challenging and becomes now an even harder problem as joint extreme events occur more frequently. For decision makers and government regulators, it is therefore important to obtain accurate information on the interdependency of risk factors. Given a...
Persistent link: https://www.econbiz.de/10009651900