The lack of a liquid market for implied correlations requires traders to estimate correlation matrices for pricing multi-asset equity options from historical data. To quantify the precision of these correlation estimates, we devise a block bootstrap procedure. The resulting bootstrap...

We evaluate the relevance of covariances in the transmission mechanism of variance spillovers across the US stock, US bond and gold markets from July 2003 to December 2012. For that purpose, we perform a comparative spillover analysis between a model that considers covariances and a model that...

We consider time series models in which the conditional mean of the response variable given the past depends on latent covariates. We assume that the covariates can be estimated consistently and use an iterative nonparametric kernel smoothing procedure for estimating the conditional mean...

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 infinite-dimensional nuisance parameters: a conditional expectation function that has been estimated nonparametrically using generated...

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 infinite-dimensional nuisance parameters: a conditional expectation function that has been estimated nonparametrically using generated...