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Jumps in the volatility of financial markets

Perron, Benoit - 1999

Persistent link: https://www.econbiz.de/10001504842

Semi-parametric weak instrument regressions with an application to the risk-return trade-off

Perron, Benoit - 1999

Persistent link: https://www.econbiz.de/10001614510

Semiparametric weak-instrument regressions with an application to rhe risk-return tradeoff

Perron, Benoit - In: The review of economics and statistics 85 (2003) 2, pp. 424-443

Persistent link: https://www.econbiz.de/10001762827

The shape of the risk premium : evidence from a semiparametric GARCH model

Linton, Oliver; Perron, Benoit - 1999

Persistent link: https://www.econbiz.de/10001504846

The shape of the risk premium : evidence from a semiparametric generalized autoregressive conditional heteroscedasticity model

Linton, Oliver; Perron, Benoit - In: Journal of business & economic statistics : JBES ; a … 21 (2003) 3, pp. 354-367

Persistent link: https://www.econbiz.de/10001785807

The shape of the risk premium : evidence from a semiparametric GARCH model

Perron, Benoit; Linton, Oliver - 2004

Persistent link: https://www.econbiz.de/10002815578

A study of a semiparametric binary choice model with integrated covariates

Guerre, Emmanuel; Moon, Hyungsik Roger - In: Econometric theory 22 (2006) 4, pp. 721-742

Persistent link: https://www.econbiz.de/10003351880

A Study of a Semiparametric Binary Choice Model with Integrated Covariates

Guerre, Emmanuel; Moon, Hyungsik Roger - 2005

This paper studies a semiparametric nonstationary binary choice model. Imposing a spherical normalization constraint on the parameter for identification purpose, we find that the MSE and SMSE are at least sqrt(n)-consistent. Comparing this rate to the parametric MLE's convergence rate, we show...

Persistent link: https://www.econbiz.de/10014061338