This paper presents a counter-factual model identifying Average Treatment Effects (ATEs) by Conditional Mean Independence when externality (or neighbourhood) effects are incorporated within the traditional potential outcome model. As such, it tries to generalize the usual approach, widely used...

This paper presents a semi-parametric approach to estimate the kurtosis in a GARCH process using quasi-maximum likelihood estimation. The proposed estimator performs better than the sample kurtosis in terms of tracking the true parameter. In addition, contrary to maximum likelihood estimator,...

It is well-knownthat financial data sets exhibit conditional heteroskedasticity. GARCH type models are often used to model this phenomenon. Since the distribution of the rescaled innovations is generally far froma normal distribution, a semiparametric approach is advisable. Several publications...