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Nonparametric estimation of structural models for high-frequency currency market data

Listed author(s):
  • Bansal, Ravi
  • Gallant, A. Ronald
  • Hussey, Robert
  • Tauchen, George

No abstract is available for this item.

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File URL: http://www.sciencedirect.com/science/article/pii/0304-4076(94)01618-A
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Article provided by Elsevier in its journal Journal of Econometrics.

Volume (Year): 66 (1995)
Issue (Month): 1-2 ()
Pages: 251-287

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Handle: RePEc:eee:econom:v:66:y:1995:i:1-2:p:251-287
Contact details of provider: Web page: http://www.elsevier.com/locate/jeconom

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  22. Robert E. Cumby & Maurice Obstfeld, 1984. "International Interest Rate and Price Level Linkages under Flexible Exchange Rates: A Review of Recent Evidence," NBER Chapters,in: Exchange Rate Theory and Practice, pages 121-152 National Bureau of Economic Research, Inc.
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  26. Martin S. Eichenbaum & Lars Peter Hansen & Kenneth J. Singleton, 1988. "A Time Series Analysis of Representative Agent Models of Consumption and Leisure Choice Under Uncertainty," The Quarterly Journal of Economics, Oxford University Press, vol. 103(1), pages 51-78.
  27. Meese, Richard A. & Rogoff, Kenneth, 1983. "Empirical exchange rate models of the seventies : Do they fit out of sample?," Journal of International Economics, Elsevier, vol. 14(1-2), pages 3-24, February.
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  36. Lars Peter Hansen & Robert J. Hodrick, 1983. "Risk Averse Speculation in the Forward Foreign Exchange Market: An Econometric Analysis of Linear Models," NBER Chapters,in: Exchange Rates and International Macroeconomics, pages 113-152 National Bureau of Economic Research, Inc.
  37. Matsuyama, Kiminori, 1990. "Sunspot equilibria (rational bubbles) in a model of money-in-the-utility-function," Journal of Monetary Economics, Elsevier, vol. 25(1), pages 137-144, January.
  38. Bollerslev, Tim & Chou, Ray Y. & Kroner, Kenneth F., 1992. "ARCH modeling in finance : A review of the theory and empirical evidence," Journal of Econometrics, Elsevier, vol. 52(1-2), pages 5-59.
  39. Engle, Robert F & Gonzalez-Rivera, Gloria, 1991. "Semiparametric ARCH Models," Journal of Business & Economic Statistics, American Statistical Association, vol. 9(4), pages 345-359, October.
  40. Gallant, A. Ronald & Hansen, Lars Peter & Tauchen, George, 1990. "Using conditional moments of asset payoffs to infer the volatility of intertemporal marginal rates of substitution," Journal of Econometrics, Elsevier, vol. 45(1-2), pages 141-179.
  41. Jeffrey A. Frankel, 1984. "Tests of Monetary and Portfolio Balance Models of Exchange Rate Determination," NBER Chapters,in: Exchange Rate Theory and Practice, pages 239-260 National Bureau of Economic Research, Inc.
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