Abstract We estimate the likelihood of miscarriages of justice by reframing the problem in the context of misclassified binary choice models. The estimator is based on new nonparametric identification results, for which we provide methods to empirically test the key identifying assumptions and...

Linear parabolic partial differential equations (PDE’s) and diffusion models are closely linked through the celebrated Feynman-Kac representation of solutions to PDE’s. In asset pricing theory, this leads to the representation of derivative prices as solutions to PDE’s. We give a number of...

In this paper we propose an estimation method for two classes of semiparametric scalar diffusion models driven by a Brownian motion: In the first class, only the diffusion term is parameterised while the drift is unspecified; in the second, the drift term is specified while the diffusion term is...

We propose a semiparametric single-factor diffusion model for the term structure of interest rate. The This model is highly flexible and encompasses most parametric single-factor models proposed in the literature. We fit the semiparametric model to a proxy of the Eurodollar short term interst...