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Kernel m-estimators : non parametric diagnostics for structural models

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Author Info

  • Gouriéroux, Christian
  • Monfort, Alain
  • Tenreiro, Carlos

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Bibliographic Info

Paper provided by CEPREMAP in its series CEPREMAP Working Papers (Couverture Orange) with number 9405.

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Length: 43 pages
Date of creation: 1994
Date of revision:
Handle: RePEc:cpm:cepmap:9405

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Cited by:
  1. Bossaerts, P. & Hillion, P., 1995. "Local Parametric Analysis of Hedging in Discrete Time," Discussion Paper 1995-23, Tilburg University, Center for Economic Research.
  2. René Garcia & Ramazan Gençay, 1998. "Pricing and Hedging Derivative Securities with Neural Networks and a Homogeneity Hint," CIRANO Working Papers 98s-35, CIRANO.
  3. René Garcia & Eric Renault, 1998. "Risk Aversion, Intertemporal Substitution, and Option Pricing," Working Papers 98-10, Centre de Recherche en Economie et Statistique.
  4. Eric Ghysels & Valentin Patilea & Éric Renault & Olivier Torrès, 1997. "Nonparametric Methods and Option Pricing," CIRANO Working Papers 97s-19, CIRANO.
  5. Eric Ghysels & Christian Gouriéroux & Joanna Jasiak, 1996. "Kernel Autocorrelogram for Time Deformed Processes," CIRANO Working Papers 96s-19, CIRANO.
  6. Pedro Gozalo & Oliver Linton, 1994. "Local Nonlinear Least Squares Estimation: Using Parametric Information Nonparametrically," Cowles Foundation Discussion Papers 1075, Cowles Foundation for Research in Economics, Yale University.
  7. René Garcia & Eric Ghysels & Éric Renault, 2004. "The Econometrics of Option Pricing," CIRANO Working Papers 2004s-04, CIRANO.

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