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Local Identification of Nonparametric and Semiparametric Models
Identification local identification nonparametric models asset pricing
2014/9/9
In parametric, nonlinear structural models, a classical sufficient condition for local identification, like Fisher (1966) and Rothenberg (1971), is that the vector of moment conditions is differentiab...
American Options Based on Malliavin Calculus and Nonparametric Variance Reduction Methods
American Options Malliavin Calculus Monte Carlo GPU
2011/7/25
Abstract: This paper is devoted to pricing American options using Monte Carlo and the Malliavin calculus. Unlike the majority of articles related to this topic, in this work we will not use localizati...
Nonparametric Estimation Of Varying Coefficient Dynamic Panel Data Models
semiparametric dynamic NPGMM consistency asymptotic
2011/4/2
We suggest using a class of semiparametric dynamic panel data models to capture
individual variations in panel data. The model assumes linearity in some
continuous/discrete variables that can be exo...
Some Recent Developments on Nonparametric Econometrics
nonparametric estimation nonparametric models instrumental variables nonparametric estimation of conditional
2011/4/2
In this paper, we survey some recent developments of nonparametric econometrics in the following areas: (i) nonparametric estimation of regression models with mixed discrete and continuous data; (ii) ...
Some Recent Developments in Nonparametric Finance
nonparametric methods time finance financial data
2011/4/2
This paper gives a selective review on some recent developments of nonparametric methods in both continuous and discrete time finance, particularly in the areas of nonparametric estimation and testing...
Characteristic Function-Based Testing for Multifactor Continuous-Time Markov Models via Nonparametric Regression
Characteristic Function Markov models conditional distribution
2011/4/2
We develop a nonparametric regression-based goodness-of-fit test for multifactor continuous-time Markov models using the conditional characteristic function, which often has a convenient closed form o...
Characteristic Function-Based Testing for Multifactor Continuous-Time Markov Models via Nonparametric Regression
nonparametric regression economics and finance easy-to-interpret diagnostic procedures
2011/4/1
We develop a nonparametric regression-based goodness-of-fit test for multifactor continuous-time Markov models using the conditional characteristic function, which often has a convenient closed form o...
Nonparametric Regression With Nearly Integrated Regressors Under Long Run Dependence
Asymptotics kernel smoothing local time of an Ornstein-Uhlenbeck fractional Brownian motion nonlinearity nonstationary covariates unit root
2011/4/2
We study nonparametric estimation of regression function with nonstationary (integrated or nearly integrated) covariates and the error series of the regressor process following a fractional ARIMA mode...
Nonparametric methods for volatility density estimation
stochastic volatility models deconvolution density estimation kernel estimator wavelets minimum contrast estimation
2010/11/2
Stochastic volatility modelling of nancial processes has become increasingly popular. The proposed models usually contain a stationary volatility process. We will motivate and review several nonparam...
NONPARAMETRIC TESTS OF THE MARKOV HYPOTHESIS IN CONTINUOUS-TIME MODELS
Markov hypothesis Chapman–Kolmogorov equation locally linear smoother transition density diffusion
2014/3/13
We propose several statistics to test the Markov hypothesis forβ-mixing stationary processes sampled at discrete time intervals. Our tests are based on the Chapman–Kolmogorov equation. We establish th...
Nonparametric Quantile Estimations for Dynamic Smooth Coefficient Models
Bandwidth selection Boundary effect Covariance estimation Kernel smoothing method Nonlinear time series Quantile regression Value-at-risk Varying coefficients
2011/4/2
We suggest quantile regression methods for a class of smooth coefficient time series models. We use both local polynomial and local constant fitting schemes to estimate the smooth coefficients in a qu...
Parametric and nonparametric models and methods in financial econometrics
Parametric nonparametric models financial econometrics
2010/12/13
Financial econometrics has become an increasingly popular research field. In this paper we review a few parametric and nonparametric models and methods used in this area. After introducing several wid...
A Nonparametric Approach to Derivative Asset Pricing
Derivative pricing European options nonparametric kernel estimation
2010/9/7
We utilize the method of Bertholon, Monfort and Pegoraro (2006) for pricing European call options based on nonparametric estimation of returns. Densities are estimated using kernel estimation on rando...
Central limit theorems for generalized U-statistics with applications in nonparametric specification
central limit theorem nonparametric specification quadratic form strict stationarity stochastic process
2011/4/2
Central limit theorems for generalized U-statistics with applications in nonparametric specification.
Nonparametric Estimation Of Varying Coefficient Dynamic Panel Data Models
Local linear fitting generalized method of moments instrumental variables panel data varying coefficient model
2011/4/6
We suggest using a class of semiparametric dynamic panel data models to capture individual variations in panel data. The model assumes linearity in some continu ous/discrete variables which can be exo...