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EmmPack 1.01 : C/C++ code for use with Ox for estimation of univariate stochastic volatility models with the efficient method of moments

Sluis, Pieter J. van der - 1998

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...

Persistent link: https://www.econbiz.de/10010533201

Consistent estimation of structural parameters in regression models with adaptive learning

Christopeit, Norbert; Massmann, Michael - 2010

In this paper we consider regression models with forecast feedback. Agents' expectations are formed via the recursive estimation of the parameters in an auxiliary model. The learning scheme employed by the agents belongs to the class of stochastic approximation algorithms whose gain sequence is...

Persistent link: https://www.econbiz.de/10011381034

Asymptotic variance approximations for invariant estimators in uncertain asset-pricing models

Gospodinov, Nikolaj; Kan, Raymond; Robotti, Cesare - 2015

This paper derives explicit expressions for the asymptotic variances of the maximum likelihood and continuously updated GMM estimators under potentially misspecified models. The proposed misspecification-robust variance estimators allow the researcher to conduct valid inference on the model...

Persistent link: https://www.econbiz.de/10011344636

GMM Estimation of Spatial Autoregressive Models with Moving Average Disturbances

Taspinar, Suleyman - 2017

In this paper, we introduce the one-step generalized method of moments (GMM) estimation methods considered in Lee (2007a) and Liu, Lee, and Bollinger (2010) to a spatial autoregressive model that has a spatial moving average process in the disturbance term (for short SARMA (1,1)). First, we...

Persistent link: https://www.econbiz.de/10012974451

GMM Estimation of Spatial Autoregressive Models with Moving Average Disturbances

Dogan, Osman; Taspinar, Suleyman - 2014

In this paper, we introduce the one-step generalized method of moments (GMM) estimation methods considered in Lee (2007a) and Liu, Lee, and Bollinger (2010) to spatial models that impose a spatial moving average process for the disturbance term. First, we determine the set of best linear and...

Persistent link: https://www.econbiz.de/10014145971

Estimating Stochastic Volatility and Jumps Using High-Frequency Data and Bayesian Methods

Fičura, Milan - 2015

We are comparing two approaches for stochastic volatility and jumps estimation in the EUR/USD time series - the non-parametric power-variation approach using high-frequency returns, and the parametric Bayesian approach (MCMC estimation of SVJD models) using daily returns. We find that both of...

Persistent link: https://www.econbiz.de/10013030080

Structural stability tests with unknown breakpoint for the efficient method of moments with application to stochastic volatility models

Sluis, Pieter J. van der - 1998

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...

Persistent link: https://www.econbiz.de/10011284082

Bias in the Estimation of Mean Reversion in Continuous-Time Lévy Processes

Bao, Yong - 2016

This paper develops the approximate bias of the ordinary least squares estimator of the mean reversion parameter in … whether the initial condition is fixed or random. The approximate bias is used to construct a bias corrected estimator. The … performance of the approximate bias and the bias corrected estimator is examined using simulated data …

Persistent link: https://www.econbiz.de/10012997979

A note on an estimation problem in models with adaptive learning

Christopeit, Norbert; Massmann, Michael - 2013

Persistent link: https://www.econbiz.de/10010191220

Modeling Intraday Momentum and Reversal by a Parsimonious Diffusion Process

Ling, Shiqing - 2019

We extend the double-well potential process to a three-parameter version in order to model intraday price dynamics, with a focus on the intraday momentum and reversal. The proposed process has a parsimonious form of three parameters controlling momentum, reversal, and volatility respectively. By...

Persistent link: https://www.econbiz.de/10012868934