Tests for structural stability with unknown breakpoint are derived for and applied tothe efficient method of moments. Three types of tests are discerned: Wald type tests,Predictive tests and Hansen type tests. The Hansen type test for structural stabilitywith unknown breakpoint is a novelty for...

In this paper a post-sample prediction test is derived forestimators based on the Efficient Method of Moments. The mainadvantage of this particular test over other stability tests isthat no time-consuming estimation of the structural parameters forthe post-sample is needed. The asymptotic...

Econometric estimation using simulation techniques, such as the efficient method of moments, may be time consuming. The use of ordinary matrix programming languages such as Gauss, Matlab, Ox or S- plus will very often cause extra delay. For the Efficient Method of Moments implemented to estimate...

Tests for structural stability with unknown breakpoint are derived for and applied to the efficient method of moments. Three types of tests are discerned: Wald type tests, Predictive tests and Hansen type tests. The Hansen type test for structural stability with unknown breakpoint is a novelty...

In this paper a post-sample prediction test is derived for estimators based on the Efficient Method of Moments. The main advantage of this particular test over other stability tests is that no time-consuming estimation of the structural parameters for the post-sample is needed. The asymptotic...

While the stochastic volatility (SV) generalization has been shown to improve the explanatory power compared to the Black-Scholes model, the empirical implications of the SV models on option pricing have not been adequately tested. The purpose of this paper is to first estimate a multivariate SV...

Estimation using simulation techniques may be very time consuming. Specification tests for structural stability often require more than one of such computationally demanding estimators. Typically one for the sample, one for the post-sample and one for the combination of sample and post-sample is...

While the stochastic volatility (SV) generalization has been shown to improvethe explanatory power compared to the Black-Scholes model, the empiricalimplications of the SV models on option pricing have not been adequately tested.The purpose of this paper is to first estimate a multivariate SV...

Econometric estimation using simulation techniques, such as the efficient method of moments, may betime consuming. The use of ordinary matrix programming languages such as Gauss, Matlab, Ox or S-plus will very often cause extra delay. For the Efficient Method of Moments implemented to...

Estimation using simulation techniques may be very time consuming. Specification tests for structuralstability often require more than one of such computationally demanding estimators. Typically one for thesample, one for the post-sample and one for the combination of sample and post-sample is...