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Citations for "Qualitative and asymptotic performance of SNP density estimators"

by Fenton, Victor M. & Gallant, A. Ronald

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  1. van der Sluis Pieter J., 1997. "EmmPack 1.01: C/C++ Code for Use with Ox for Estimation of Univariate Stochastic Volatility Models with the Efficient Method of Moments," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 2(3), pages 1-20, October.
  2. Massimo Guidolin & Giovanna Nicodano, 2007. "Small caps in international equity portfolios: the effects of variance risk," Working Papers 2005-075, Federal Reserve Bank of St. Louis.
  3. Irina Irincheeva & Eva Cantoni & Marc G. Genton, 2009. "Generalized linear la tent variable models with flexible distribution of latent variables," Research Papers by the Department of Economics, University of Geneva 2009.08, Département des Sciences Économiques, Université de Genève.
  4. Cooper, Joseph C., 2002. "Flexible Functional Form Estimation of Willingness to Pay Using Dichotomous Choice Data," Journal of Environmental Economics and Management, Elsevier, vol. 43(2), pages 267-279, March.
  5. 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.).
  6. Antonio Merlo & Aureo de Paula, 2010. "Identification and Estimation of Preference Distributions When Voters Are Ideological," PIER Working Paper Archive 11-001, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania.
  7. Guidolin, Massimo & Ono, Sadayuki, 2006. "Are the dynamic linkages between the macroeconomy and asset prices time-varying?," Journal of Economics and Business, Elsevier, vol. 58(5-6), pages 480-518.
  8. Teruko Takada, 2001. "Nonparametric density estimation: A comparative study," Economics Bulletin, AccessEcon, vol. 3(16), pages 1-10.
  9. Dante Jara, 2004. "Un Modelo Estadístico Flexible para la Estructura Intertemporal de Tasas en Chile," Econometrics 0412010, EconWPA.
  10. León, Ángel & Mencía, Javier & Sentana, Enrique, 2005. "Parametric Properties of Semi-Nonparametric Distributions, With Applications to Option Valuation," CEPR Discussion Papers 5435, C.E.P.R. Discussion Papers.
  11. Cooper, Joseph C., 2009. "ACRE: A Revenue-Based Alternative to Price-Based Commodity Payment Programs," 2009 Annual Meeting, July 26-28, 2009, Milwaukee, Wisconsin 49180, Agricultural and Applied Economics Association.
  12. Gilleskie, Donna B. & Mroz, Thomas A., 2004. "A flexible approach for estimating the effects of covariates on health expenditures," Journal of Health Economics, Elsevier, vol. 23(2), pages 391-418, March.
  13. Del Brio, Esther B. & Ñíguez, Trino-Manuel & Perote, Javier, 2008. "Multivariate Gram-Charlier Densities," MPRA Paper 29073, University Library of Munich, Germany.
  14. Cooper, Joseph C. & Delbecq, Benoit A. & Davis, Christopher G., 2012. "Fiscal and Farm Level Consequences of “Shallow Loss” Commodity Support," 2012 Annual Meeting, August 12-14, 2012, Seattle, Washington 124199, Agricultural and Applied Economics Association.
  15. Mikhail Chernov & A. Ronald Gallant & Eric Ghysels & George Tauchen, 1999. "A New Class of Stochastic Volatility Models with Jumps: Theory and Estimation," CIRANO Working Papers 99s-48, CIRANO.
  16. Cooper, Joseph C., 2009. "Payments under the Average Crop Revenue Program: Implications for Government Costs and Producer Preferences," Agricultural and Resource Economics Review, Northeastern Agricultural and Resource Economics Association, vol. 38(1), April.
  17. Coppejans, Mark & Gallant, A. Ronald, 2002. "Cross-validated SNP density estimates," Journal of Econometrics, Elsevier, vol. 110(1), pages 27-65, September.
  18. 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.
  19. Pieter J. van der Sluis, 1997. "Post-Sample Prediction Tests for the Efficient Method of Moments," Tinbergen Institute Discussion Papers 97-054/4, Tinbergen Institute.
  20. Ifft, Jennifer & Cooper, Joseph C. & Kuethe, Todd H., 2012. "The Impact of Risk and Farm Program Design on Cash Rents," 2012 Annual Meeting, August 12-14, 2012, Seattle, Washington 124334, Agricultural and Applied Economics Association.
  21. 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.
  22. Pieter J. Van Der Sluis, 1998. "Computationally attractive stability tests for the efficient method of moments," Econometrics Journal, Royal Economic Society, vol. 1(Conferenc), pages C203-C227.
  23. Eric Ghysels & Alain Guay, 2001. "Testing for Structural Change in the Presence of Auxiliary Models," Cahiers de recherche CREFE / CREFE Working Papers 133, CREFE, Université du Québec à Montréal.
  24. Jose Luis Moraga-Gonzalez & Zsolt Sandor & Matthijs R. Wildenbeest, 2008. "Nonparametric Estimation of the Costs of Non-Sequential Search," Tinbergen Institute Discussion Papers 07-102/1, Tinbergen Institute.
  25. Massimo Guidolin & Stuart Hyde, 2008. "Equity portfolio diversification under time-varying predictability and comovements: evidence from Ireland, the US, and the UK," Working Papers 2008-005, Federal Reserve Bank of St. Louis.
  26. Gallant, A. Ronald & Hsieh, David & Tauchen, George, 1995. "Estimation of Stochastic Volatility Models with Diagnostics," Working Papers 95-36, Duke University, Department of Economics.
  27. Kyoo il Kim, 2006. "Uniform Convergence Rate of the SNP Density Estimator and Testing for Similarity of Two Unknown Densities," Labor Economics Working Papers 22451, East Asian Bureau of Economic Research.
  28. Dias, Ronaldo & Garcia, Nancy L., 2007. "Consistent estimator for basis selection based on a proxy of the Kullback-Leibler distance," Journal of Econometrics, Elsevier, vol. 141(1), pages 167-178, November.
  29. Massimo Guidolin & Carrie Fangzhou Na, 2007. "The economic and statistical value of forecast combinations under regime switching: an application to predictable U.S. returns," Working Papers 2006-059, Federal Reserve Bank of St. Louis.
  30. Solibakke, Per Bjarte, 2001. "A stochastic volatility model specification with diagnostics for thinly traded equity markets," Journal of Multinational Financial Management, Elsevier, vol. 11(4-5), pages 385-406, December.
  31. Andersen, Torben G. & Lund, Jesper, 1997. "Estimating continuous-time stochastic volatility models of the short-term interest rate," Journal of Econometrics, Elsevier, vol. 77(2), pages 343-377, April.
  32. Liesenfeld, Roman & Breitung, Jörg, 1998. "Simulation based methods of moments in empirical finance," SFB 373 Discussion Papers 1998,59, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
  33. Cooper, Joseph C., 2008. "A Revenue-Based Alternative to the Counter-Cyclical Payment Program," 2008 Annual Meeting, July 27-29, 2008, Orlando, Florida 6197, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association).
  34. 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.
  35. Mikhail Chernov & Eric Ghysels, 1998. "What Data Should Be Used to Price Options?," CIRANO Working Papers 98s-22, CIRANO.
  36. Liesenfeld, Roman & Richard, Jean-Francois, 2003. "Univariate and multivariate stochastic volatility models: estimation and diagnostics," Journal of Empirical Finance, Elsevier, vol. 10(4), pages 505-531, September.
  37. Per Bjarte Solibakke, 2003. "Validity of discrete-time stochastic volatility models in non-synchronous equity markets," The European Journal of Finance, Taylor & Francis Journals, vol. 9(5), pages 420-448.