This file is part of IDEAS , which uses RePEc data
[ Papers |
Articles |
Software |
Books |
Chapters |
Authors |
Institutions |
JEL Classification |
NEP reports |
Search |
New papers by email |
Author registration |
Rankings |
Volunteers |
FAQ |
Blog |
Help! ]
Nonparametric estimation of structural models for high-frequency currency market data Author info | Abstract | Publisher info | Download info | Related research | Statistics Bansal, Ravi
Gallant, A. Ronald
Hussey, Robert
Tauchen, George
Additional information is available for the following
registered author(s):
No abstract is available for
this item.
To download:
If you experience problems downloading a file, check if you have the
proper application to
view it first. Information about this may be contained
in the File-Format links below. In case of further problems read
the IDEAS help
page . Note that these files are not on the IDEAS
site. Please be patient as the files may be large.
As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.
Article provided by Elsevier in its journal Journal of Econometrics .
Volume (Year): 66 (1995)
Issue (Month): 1-2 ()
Pages: 251-287
Download reference. The following formats are available: HTML
(with abstract ),
plain text
(with abstract ),
BibTeX ,
RIS (EndNote, RefMan, ProCite),
ReDIF
Handle: RePEc:eee:econom:v:66:y:1995:i:1-2:p:251-287Contact details of provider: Web page: http://www.elsevier.com/locate/jeconom
For technical questions regarding this item, or to correct its listing, contact: (Heidi Boesdal).
Keywords: Cited by : (explanations , Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile , click on "citations" and make appropriate adjustments.)
Fernando Alvarez & Andrew Atkeson & Patrick Kehoe, 2007.
"Time-Varying Risk, Interest Rates, and Exchange Rates in General Equilibrium ,"
Working Papers
CAS_RN_2007_6, Laboratory for Macroeconomic Analysis.
[Downloadable!]
Other versions:
Fernando Alvarez & Andrew Atkeson & Patrick J. Kehoe, 2005.
"Time-varying risk, interest rates and exchange rates in general equilibrium ,"
Working Papers
627, Federal Reserve Bank of Minneapolis.
Fernando Alvarez & Andrew Atkeson & Patrick J. Kehoe, 2008.
"Time-varying risk, interest rates, and exchange rates in general equilibrium ,"
Staff Report
371, Federal Reserve Bank of Minneapolis.
[Downloadable!] Fernando Alvarez & Andrew Atkeson & Patrick J. Kehoe, 2009.
"Time-Varying Risk, Interest Rates, and Exchange Rates in General Equilibrium ,"
Review of Economic Studies ,
Blackwell Publishing, vol. 76(3), pages 851-878, 07.
[Downloadable!] (restricted) Yong Zeng & Shu Wu, 2004.
"A General Equilibrium Model of the Term Structure of Interest Rates under Regime-switching Risk ,"
Econometric Society 2004 North American Summer Meetings
304, Econometric Society.
[Downloadable!]
Diana Zhumabekova & Mardi Dungey, 2001.
"Factor analysis of a model of stock market returns using simulation-based estimation techniques ,"
Pacific Basin Working Paper Series
01-08, Federal Reserve Bank of San Francisco.
[Downloadable!]
Hollifield, Burton & Yaron, Amir, 2001.
"The Foreign Exchange Risk Premium: Real and Nominal Factors ,"
Working Papers
01-1, University of Pennsylvania, Wharton School, Weiss Center.
[Downloadable!]
Other versions:
Hollifield, B. & Yaron, A., 1999.
"The Foreign Exchange Risk Premium: Real and Nominal Factors ,"
GSIA Working Papers
1999-17, Carnegie Mellon University, Tepper School of Business.
Burton Hollifield & Armir Yaron, .
"The Foreign Exchange Risk Premium: Real and Nominal Factors ,"
GSIA Working Papers
2001-E13, Carnegie Mellon University, Tepper School of Business.
[Downloadable!] Lucio Sarno & Giorgio Valente & H. L. Leon, 2006.
"Nonlinearity in Deviations from Uncovered Interest Parity: An Explanation of the Forward Bias Puzzle ,"
IMF Working Papers
06/136, International Monetary Fund.
[Downloadable!]
Other versions:
Leon, Hyginus & Sarno, Lucio & Valente, Giorgio, 2006.
"Nonlinearity in Deviations from Uncovered Interest Parity: An Explanation of the Forward Bias Puzzle ,"
CEPR Discussion Papers
5527, C.E.P.R. Discussion Papers.
[Downloadable!] (restricted) Lucio Sarno & Giorgio Valente & Hyginus Leon, 2006.
"Nonlinearity in Deviations from Uncovered Interest Parity: An Explanation of the Forward Bias Puzzle ,"
Review of Finance ,
Springer, vol. 10(3), pages 443-482, September.
[Downloadable!] (restricted) Thomas D. Tallarini, Jr. & Harold H. Zhang, 2005.
"External habit and the cyclicality of expected stock returns ,"
Finance and Economics Discussion Series
2005-27, Board of Governors of the Federal Reserve System (U.S.).
[Downloadable!]
Other versions:
Thomas Tallarini & Harold Zhang, .
"External Habit and the Cyclicality of Expected Stock Returns ,"
GSIA Working Papers
1997-26, Carnegie Mellon University, Tepper School of Business.
[Downloadable!] Thomas D. Tallarini, Jr. & Harold H. Zhang, 2005.
"External Habit and the Cyclicality of Expected Stock Returns ,"
Journal of Business ,
University of Chicago Press, vol. 78(3), pages 1023-1048, May.
[Downloadable!] Pieter J. van der Sluis, 1997.
"Computationally Attractive Stability Tests for the Efficient Method of Moments ,"
Tinbergen Institute Discussion Papers
97-087/4, Tinbergen Institute.
[Downloadable!]
Other versions: Pascale VALERY (HEC-Montreal) & Jean-Marie Dufour (University of Montreal), 2004.
"A simple estimation method and finite-sample inference for a stochastic volatility model ,"
Econometric Society 2004 North American Summer Meetings
153, Econometric Society.
[Downloadable!]
Veronika Czellar & Eric Zivot, 2008.
"Improved small sample inference for efficient method of moments and indirect inference estimators ,"
Working Papers
UWEC-2008-04, University of Washington, Department of Economics.
[Downloadable!]
Ming Liu & Harold H. Zhang, .
"Specification Tests in the Efficient Method of Moments Framework with Application to the Stochastic Volatility Models ,"
Computing in Economics and Finance 1997
93, Society for Computational Economics.
[Downloadable!]
Pieter J. van der Sluis, 1998.
"Structural Stability Tests with Unknown Breakpoint for the Efficient Method of Moments with Application to Stochastic Volatility Models ,"
Tinbergen Institute Discussion Papers
98-055/4, Tinbergen Institute.
[Downloadable!]
Steve Ambler & Ali Dib & Nooman Rebei, 2003.
"Nominal Rigidities and Exchange Rate Pass-Through in a Structural Model of a Small Open Economy ,"
Working Papers
03-29, Bank of Canada.
[Downloadable!]
Ravi Bansal & George Tauchen & Hao Zhou, 2003.
"Regime-shifts, risk premiums in the term structure, and the business cycle ,"
Finance and Economics Discussion Series
2003-21, Board of Governors of the Federal Reserve System (U.S.).
[Downloadable!]
Other versions: Monica Gentile & Roberto RenĂ², 2002.
"Which Model for the Italian Interest Rates? ,"
LEM Papers Series
2002/02, Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy.
[Downloadable!]
Per Bjarte Solibakke, 2003.
"Validity of discrete-time stochastic volatility models in non-synchronous equity markets ,"
European Journal of Finance ,
Taylor and Francis Journals, vol. 9(5), pages 420-448, October.
[Downloadable!] (restricted)
George J. Jiang & Pieter J. van der Sluis, 1998.
"Pricing Stock Options under Stochastic Volatility and Stochastic Interest Rates with Efficient Method of Moments Estimation ,"
Tinbergen Institute Discussion Papers
98-067/4, Tinbergen Institute.
[Downloadable!]
Jean-Marie Dufour & Pascale Valery, 2000.
"Monte Carlo Test Applied to Models Estimated by Indirect Inference ,"
Econometric Society World Congress 2000 Contributed Papers
1667, Econometric Society.
[Downloadable!]
Hao Zhou, 2000.
"A study of the finite sample properties of EMM, GMM, QMLE, and MLE for a square-root interest rate diffusion model ,"
Finance and Economics Discussion Series
2000-45, Board of Governors of the Federal Reserve System (U.S.).
[Downloadable!]
John Matovu, 2007.
"Volatility and Jump Risk Premia in Emerging Market Bonds ,"
IMF Working Papers
07/172, International Monetary Fund.
[Downloadable!]
Ramdan Dridi, 2000.
"Simulated Asymptotic Least Squares Theory ,"
STICERD - Econometrics Paper Series
/2000/396, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
[Downloadable!]
Hoi Wong & Tsz Wong, 2007.
"Reduced-form Models with Regime Switching: An Empirical Analysis for Corporate Bonds ,"
Asia-Pacific Financial Markets ,
Springer, vol. 14(3), pages 229-253, September.
[Downloadable!] (restricted)
Access and
download statistics Did you know? About 1000 archives contribute their bibliographic data to RePEc .
This page was last updated on 2009-11-13.
This information is provided to you by IDEAS at the Department of Economics , College of Liberal Arts and Sciences , University of Connecticut using RePEc data on a server sponsored by the Society for Economic Dynamics .