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Citations for "Which Moments to Match?"

by Gallant, A. Ronald & Tauchen, George

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  1. Calzolari, Giorgio & Halbleib, Roxana & Parrini, Alessandro, 2014. "Estimating GARCH-type models with symmetric stable innovations: Indirect inference versus maximum likelihood," Computational Statistics & Data Analysis, Elsevier, vol. 76(C), pages 158-171.
  2. Marco Lombardi & Giorgio Calzolari, 2006. "Indirect estimation of alpha-stable stochastic volatility models," Econometrics Working Papers Archive wp2006_07, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti".
  3. Ole E. Barndorff-Nielsen & Neil Shephard, 2003. "Impact of jumps on returns and realised variances: econometric analysis of time-deformed Levy processes," Economics Papers 2003-W12, Economics Group, Nuffield College, University of Oxford.
  4. Donald W.K. Andrews & Biao Lu, 1999. "Consistent Model and Moment Selection Criteria for GMM Estimation with Applications to Dynamic Panel Data Models," Cowles Foundation Discussion Papers 1233, Cowles Foundation for Research in Economics, Yale University.
  5. Ravi Bansal & A. Ronald Gallant & George Tauchen, 2007. "Rational Pessimism, Rational Exuberance, and Asset Pricing Models," Review of Economic Studies, Oxford University Press, vol. 74(4), pages 1005-1033.
  6. Thomas D. Tallarini & 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.).
  7. María-Dolores Ramón & Vázquez Jesús, 2006. "How Does the New Keynesian Monetary Model Fit in the U.S. and the Eurozone? An Indirect Inference Approach," The B.E. Journal of Macroeconomics, De Gruyter, vol. 6(2), pages 1-51, September.
  8. Shu Wu & Yong Zeng, 2005. "A General Equilibrium Model Of The Term Structure Of Interest Rates Under Regime-Switching Risk," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 8(07), pages 839-869.
  9. Michaelides, Alexander & Ng, Serena, 2000. "Estimating the rational expectations model of speculative storage: A Monte Carlo comparison of three simulation estimators," Journal of Econometrics, Elsevier, vol. 96(2), pages 231-266, June.
  10. Fernández-Villaverde, Jesús & Rubio-Ramírez, Juan Francisco, 2006. "Estimating Macroeconomic Models: A Likelihood Approach," CEPR Discussion Papers 5513, C.E.P.R. Discussion Papers.
  11. Asger Lunde & Anne Floor Brix & Wei Wei, 2013. "A Generalized Schwartz Model for Energy Spot Prices - Estimation using a Particle MCMC Method," CREATES Research Papers 2015-46, Department of Economics and Business Economics, Aarhus University.
  12. Yu, Jun & Yang, Zhenlin & Zhang, Xibin, 2006. "A class of nonlinear stochastic volatility models and its implications for pricing currency options," Computational Statistics & Data Analysis, Elsevier, vol. 51(4), pages 2218-2231, December.
  13. Matteo Barigozzi & Roxana Halbleib & David Veredas, 2012. "Which model to match?," Working Papers 1229, Banco de España;Working Papers Homepage.
  14. Kaeck, Andreas & Alexander, Carol, 2012. "Volatility dynamics for the S&P 500: Further evidence from non-affine, multi-factor jump diffusions," Journal of Banking & Finance, Elsevier, vol. 36(11), pages 3110-3121.
  15. Driessen, Joost & Melenberg, Bertrand & Nijman, Theo, 2005. "Testing affine term structure models in case of transaction costs," Journal of Econometrics, Elsevier, vol. 126(1), pages 201-232, May.
  16. 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.
  17. Meddahi, N., 2001. "An Eigenfunction Approach for Volatility Modeling," Cahiers de recherche 2001-29, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
  18. Catherine Bruneau & Amine Lahiani, 2006. "Estimation d'un modèle TIMA avec asymétrie contemporaine par inférence indirecte," Swiss Journal of Economics and Statistics (SJES), Swiss Society of Economics and Statistics (SSES), vol. 142(IV), pages 479–500, December.
  19. BAUWENS, Luc & HAFNER, Christian & LAURENT, Sébastien, 2011. "Volatility models," CORE Discussion Papers 2011058, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
  20. Stentoft, Lars, 2011. "American option pricing with discrete and continuous time models: An empirical comparison," Journal of Empirical Finance, Elsevier, vol. 18(5), pages 880-902.
  21. Creel, Michael & Kristensen, Dennis, 2016. "On selection of statistics for approximate Bayesian computing (or the method of simulated moments)," Computational Statistics & Data Analysis, Elsevier, vol. 100(C), pages 99-114.
  22. Gabriele Fiorentini & Enrique Sentana, 2012. "Tests For Serial Dependence In Static, Non-Gaussian Factor Models," Working Papers wp2012_1211, CEMFI.
  23. Czellar, Veronika & Karolyi, G. Andrew & Ronchetti, Elvezio, 2005. "Indirect Robust Estimation of the Short-term Interest Rate Process," Working Paper Series 2005-4, Ohio State University, Charles A. Dice Center for Research in Financial Economics.
  24. Cai, Zongwu & Hong, Yongmiao, 2003. "Nonparametric Methods in Continuous-Time Finance: A Selective Review," SFB 373 Discussion Papers 2003,15, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
  25. David Hendry & Neil Shephard & Jurgen Doornik, 2001. "Computationally-intensive Econometrics using a Distributed Matrix-programming Language," Economics Series Working Papers 2001-W22, University of Oxford, Department of Economics.
  26. Chernov, Mikhail, 2003. "Empirical reverse engineering of the pricing kernel," Journal of Econometrics, Elsevier, vol. 116(1-2), pages 329-364.
  27. repec:skb:wpaper:cofie-05-2008 is not listed on IDEAS
  28. Durham, Garland B., 2006. "Monte Carlo methods for estimating, smoothing, and filtering one- and two-factor stochastic volatility models," Journal of Econometrics, Elsevier, vol. 133(1), pages 273-305, July.
  29. Santos, Manuel S., 2003. "Simulation-based estimation of dynamic models with continuous equilibrium solutions," UC3M Working papers. Economics we034716, Universidad Carlos III de Madrid. Departamento de Economía.
  30. Michael Creel & Dennis Kristensen, . "Indirect Likelihood Inference," Working Papers 558, Barcelona Graduate School of Economics.
  31. Andersen, Torben G. & Chung, Hyung-Jin & Sorensen, Bent E., 1999. "Efficient method of moments estimation of a stochastic volatility model: A Monte Carlo study," Journal of Econometrics, Elsevier, vol. 91(1), pages 61-87, July.
  32. Asai, Manabu & McAleer, Michael, 2015. "Forecasting co-volatilities via factor models with asymmetry and long memory in realized covariance," Journal of Econometrics, Elsevier, vol. 189(2), pages 251-262.
  33. Corradi, Valentina & Swanson, Norman R., 2005. "Bootstrap specification tests for diffusion processes," Journal of Econometrics, Elsevier, vol. 124(1), pages 117-148, January.
  34. Meghan Skira, 2012. "Dynamic Wage and Employment Effects of Elder Parent Care," Boston College Working Papers in Economics 792, Boston College Department of Economics, revised 16 Aug 2013.
  35. Siddhartha Chib & Michael K Pitt & Neil Shephard, 2004. "Likelihood based inference for diffusion driven models," OFRC Working Papers Series 2004fe17, Oxford Financial Research Centre.
  36. Neil Shephard, 2005. "Stochastic volatility," Economics Series Working Papers 2005-W17, University of Oxford, Department of Economics.
  37. Brenda Gonzalez-Hermosillo & Vance Martin & Renee Fry & Mardi Dungey, 2003. "Unanticipated Shocks and Systemic Influences; The Impact of Contagion in Global Equity Markets in 1998," IMF Working Papers 03/84, International Monetary Fund.
  38. Jean-Marie Dufour, 2005. "Monte Carlo tests with nuisance parameters: a general approach to finite-sample inference and non-standard asymptotics," CIRANO Working Papers 2005s-02, CIRANO.
  39. 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.).
  40. Cai, Lili & Swanson, Norman R., 2011. "In- and out-of-sample specification analysis of spot rate models: Further evidence for the period 1982-2008," Journal of Empirical Finance, Elsevier, vol. 18(4), pages 743-764, September.
  41. Chernov, Mikhail & Gallant, A. Ronald & Ghysels, Eric & Tauchen, George, 2002. "Alternative Models for Stock Price Dynamic," Working Papers 02-03, Duke University, Department of Economics.
  42. Suk Kim, Myung & Wang, Suojin, 2006. "On the applicability of stochastic volatility models," Computational Statistics & Data Analysis, Elsevier, vol. 51(4), pages 2210-2217, December.
  43. Mardi Dungey & Vance L Martin & Adrian R Pagan, 2000. "A multivariate latent factor decomposition of international bond yield spreads," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 15(6), pages 697-715.
  44. Egorov, Alexei V. & Li, Haitao & Ng, David, 2011. "A tale of two yield curves: Modeling the joint term structure of dollar and euro interest rates," Journal of Econometrics, Elsevier, vol. 162(1), pages 55-70, May.
  45. Willa Chen & Rohit Deo, 2005. "Estimation of mis-specified long memory models," Econometrics 0501004, EconWPA.
  46. Maican, Florin G., 2012. "From Boom to Bust and Back Again: A dynamic analysis of IT services," Working Papers in Economics 543, University of Gothenburg, Department of Economics.
  47. Francesco Audrino & Enrico De Giorgi, . "Beta Regimes for the Yield Curve," IEW - Working Papers 244, Institute for Empirical Research in Economics - University of Zurich.
  48. Kenneth W. Clements & Renee Fry, 2006. "Commodity Currencies And Currency Commodities," CAMA Working Papers 2006-19, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
  49. Marco J. Lombardi & Giorgio Calzolari, 2004. "Indirect estimation of alpha-stable distributions and processes," Econometrics Working Papers Archive wp2004_07, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti".
  50. Teresa Corzo Santamaría & Javier Gómez Biscarri, 2004. "Nonparametric Estimation of Convergence of Interest Rates: Effects on Bond Pricing," Faculty Working Papers 03/04, School of Economics and Business Administration, University of Navarra.
  51. Stan Hurn & J.Jeisman & K.A. Lindsay, 2006. "Seeing the wood for the trees: A critical evaluation of methods to estimate the parameters of stochastic differential equations," Stan Hurn Discussion Papers 2006, School of Economics and Finance, Queensland University of Technology.
  52. Mixon, Scott, 2001. "Volume and Volatility: News or Noise?," The Financial Review, Eastern Finance Association, vol. 36(4), pages 99-118, November.
  53. Neil Shephard & Torben G. Andersen, 2008. "Stochastic Volatility: Origins and Overview," Economics Series Working Papers 389, University of Oxford, Department of Economics.
  54. Martin, V.L. & Wilkins, N.P., 1997. "Indirect Estimation of Arfima and Varfima Models," Department of Economics - Working Papers Series 547, The University of Melbourne.
  55. Orazio Di Miscia, 2005. "Estimation of continuous-time interest rate models: a nonparametric approach," Finance 0504015, EconWPA.
  56. Sangjoon Kim & Neil Shephard, 1994. "Stochastic volatility: likelihood inference and comparison with ARCH models," Economics Papers 3., Economics Group, Nuffield College, University of Oxford.
  57. Gunter Coenen & Volker Wieland, 2000. "A Small Estimated Euro-Area Model with Rational Expectations and Nominal Rigidities," Econometric Society World Congress 2000 Contributed Papers 1284, Econometric Society.
  58. Francisco Javier Mencía & Enrique Sentana, 2004. "Estimation And Testing Of Dynamic Models With Generalised Hyperbolic Innovations," Working Papers wp2004_0411, CEMFI.
  59. 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.
  60. Xue-Zhong He & Youwei Li, 2015. "Testing of a Market Fraction Model and Power-Law Behaviour in the Dax 30," Research Paper Series 354, Quantitative Finance Research Centre, University of Technology, Sydney.
  61. Stan Hurn & J.Jeisman & K.A. Lindsay, 2006. "Seeing the Wood for the Trees: A Critical Evaluation of Methods to Estimate the Parameters of Stochastic Differential Equations. Working paper #2," NCER Working Paper Series 2, National Centre for Econometric Research.
  62. Christian Gouriéroux & Peter C. B. Phillips & Jun Yu, 2006. "Indirect Inference for Dynamic Panel Models," Development Economics Working Papers 22421, East Asian Bureau of Economic Research.
  63. Norman R. Swanson & Valentina Corradi, 2011. "Predictive Density Construction and Accuracy Testing with Multiple Possibly Misspecified Diffusion Models," Departmental Working Papers 201112, Rutgers University, Department of Economics.
  64. Jones, Christopher S., 2003. "The dynamics of stochastic volatility: evidence from underlying and options markets," Journal of Econometrics, Elsevier, vol. 116(1-2), pages 181-224.
  65. Callan, Tim & van de Ven, Justin & Keane, Claire & O'Connell, Philip J., 2012. "A Framework for Pension Policy Analysis in Ireland: PENMOD, a Dynamic Simulation Model," Book Chapters, in: Callan, Tim (ed.), Analysing Pensions: Modelling and Policy Issues, pages 43-101 Economic and Social Research Institute (ESRI).
  66. Sule Alan, 2005. "Entry Costs and Stock Market Participation Over the Life Cycle," Working Papers 2005_1, York University, Department of Economics.
  67. Ron Gallant & Raffaella Giacomini & Giuseppe Ragusa, 2013. "Generalized method of moments with latent variables," CeMMAP working papers CWP50/13, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
  68. Rolf Golombek & Arvid Raknerud, 2015. "Exit Dynamics of Start-up Firms: Does Profit Matter?," CESifo Working Paper Series 5172, CESifo Group Munich.
  69. Rómulo Chumacero, 2003. "A Toolkit for Analyzing Alternative Policies in The Chilean Economy," Working Papers Central Bank of Chile 241, Central Bank of Chile.
  70. Ledyard, John O. & Bossaerts, Peter & Fine, Leslie., 2000. "Inducing Liquidity In Thin Financial Markets Through Combined-Value Trading Mechanisms," Working Papers 1095, California Institute of Technology, Division of the Humanities and Social Sciences.
  71. Dr Justin van de Ven, 2011. "A Structural Dynamic Microsimulation Model of Household Savings and Labour Supply," NIESR Discussion Papers 385, National Institute of Economic and Social Research.
  72. Richard Blundell & Monica Costa Dias & Costas Meghir & Jonathan M. Shaw, 2013. "Female Labour Supply, Human Capital and Welfare Reform," NBER Working Papers 19007, National Bureau of Economic Research, Inc.
  73. Qiang Dai & Kenneth Singleton, 2003. "Term Structure Dynamics in Theory and Reality," Review of Financial Studies, Society for Financial Studies, vol. 16(3), pages 631-678, July.
  74. Bandi, Federico M., 2002. "Short-term interest rate dynamics: a spatial approach," Journal of Financial Economics, Elsevier, vol. 65(1), pages 73-110, July.
  75. Ortelli, Claudio & Trojani, Fabio, 2005. "Robust efficient method of moments," Journal of Econometrics, Elsevier, vol. 128(1), pages 69-97, September.
  76. Alain Guay & Olivier Scaillet, 1999. "Indirect Inference, Nuisance Parameter and Threshold Moving Average," Cahiers de recherche CREFE / CREFE Working Papers 95, CREFE, Université du Québec à Montréal.
  77. Paolo Lucchino & Dr Justin van de Ven, 2013. "Empirical Analysis of Household Savings Decisions in Context of Uncertainty: A cross-sectional approach," NIESR Discussion Papers 406, National Institute of Economic and Social Research.
  78. Diego Valderrama, 2002. "Statistical nonlinearities in the business cycle: a challenge for the canonical RBC model," Working Paper Series 2002-13, Federal Reserve Bank of San Francisco.
  79. Anna Gottard & Giorgio Calzolari, 2014. "Alternative estimating procedures for multiple membership logit models with mixed effects: indirect inference and data cloning," Econometrics Working Papers Archive 2014_07, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti".
  80. In Kim & In-Seok Baek & Jaesun Noh & Sol Kim, 2007. "The role of stochastic volatility and return jumps: reproducing volatility and higher moments in the KOSPI 200 returns dynamics," Review of Quantitative Finance and Accounting, Springer, vol. 29(1), pages 69-110, July.
  81. Tim Bollerslev & Hao Zhou, 2001. "Estimating stochastic volatility diffusion using conditional moments of integrated volatility," Finance and Economics Discussion Series 2001-49, Board of Governors of the Federal Reserve System (U.S.).
  82. Eduardo Rossi & Paolo Santucci de Magistris, 2014. "Indirect inference with time series observed with error," CREATES Research Papers 2014-57, Department of Economics and Business Economics, Aarhus University.
  83. Giorgio Calzolari, 2015. "Indirect estimation and econometrics exams: how to live a round life," Econometrics Working Papers Archive 2015_01, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti".
  84. Peter Bossaerts & Charles Plott, 2004. "Basic Principles of Asset Pricing Theory: Evidence from Large-Scale Experimental Financial Markets," Review of Finance, Springer, vol. 8(2), pages 135-169.
  85. 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.
  86. Kozarski, R., 2013. "Pricing and hedging in the VIX derivative market," Other publications TiSEM 221fefe0-241e-4914-b6bd-c, Tilburg University, School of Economics and Management.
  87. Chernov, Mikhail & Ghysels, Eric, 2000. "A study towards a unified approach to the joint estimation of objective and risk neutral measures for the purpose of options valuation," Journal of Financial Economics, Elsevier, vol. 56(3), pages 407-458, June.
  88. Chen, Xiaohong & Liao, Zhipeng, 2015. "Sieve semiparametric two-step GMM under weak dependence," Journal of Econometrics, Elsevier, vol. 189(1), pages 163-186.
  89. Orazio Di Miscia, 2005. "Term structure of interest models: concept and estimation problem in a continuous-time setting," Finance 0504017, EconWPA.
  90. Tang, Cheng Yong & Chen, Song Xi, 2009. "Parameter estimation and bias correction for diffusion processes," Journal of Econometrics, Elsevier, vol. 149(1), pages 65-81, April.
  91. Lô, Serigne N. & Ronchetti, Elvezio, 2012. "Robust small sample accurate inference in moment condition models," Computational Statistics & Data Analysis, Elsevier, vol. 56(11), pages 3182-3197.
  92. Peter Fuleky & Eric Zivot, 2010. "Indirect Inference Based on the Score," Working Papers UWEC-2010-08, University of Washington, Department of Economics.
  93. Anne Brix & Asger Lunde, 2015. "Prediction-based estimating functions for stochastic volatility models with noisy data: comparison with a GMM alternative," AStA Advances in Statistical Analysis, Springer;German Statistical Society, vol. 99(4), pages 433-465, October.
  94. Tsyplakov, Alexander, 2010. "Revealing the arcane: an introduction to the art of stochastic volatility models," MPRA Paper 25511, University Library of Munich, Germany.
  95. 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.).
  96. Liu, Qingfu & Tu, Anthony H., 2012. "Jump spillovers in energy futures markets: Implications for diversification benefits," Energy Economics, Elsevier, vol. 34(5), pages 1447-1464.
  97. Drew Creal & Siem Jan Koopman & André Lucas & Marcin Zamojski, 2015. "Generalized Autoregressive Method of Moments," Tinbergen Institute Discussion Papers 15-138/III, Tinbergen Institute.
  98. Monika Piazzesi, 2001. "An Econometric Model of the Yield Curve with Macroeconomic Jump Effects," NBER Working Papers 8246, National Bureau of Economic Research, Inc.
  99. repec:wyi:journl:002064 is not listed on IDEAS
  100. repec:wyi:journl:002142 is not listed on IDEAS
  101. Roberto Rigobon, 2001. "The Curse of Non-Investment Grade Countries," NBER Working Papers 8636, National Bureau of Economic Research, Inc.
  102. de Jong, Frank, 2000. "Time Series and Cross-Section Information in Affine Term-Structure Models," Journal of Business & Economic Statistics, American Statistical Association, vol. 18(3), pages 300-314, July.
  103. Jesús Fernández-Villaverde & Juan Francisco Rubio-Ramírez, 2004. "Estimating nonlinear dynamic equilibrium economies: a likelihood approach," FRB Atlanta Working Paper 2004-1, Federal Reserve Bank of Atlanta.
  104. Ericsson, Neil R. & Maasoumi, Esfandiar & Mizon, Grayham E., 2001. "A retrospective on J.D. Sargan and his contribution to Econometrics," Discussion Paper Series In Economics And Econometrics 0108, Economics Division, School of Social Sciences, University of Southampton.
  105. Adam Clements & Stan Hurn & Scott White, 2006. "Estimating Stochastic Volatility Models Using a Discrete Non-linear Filter. Working paper #3," NCER Working Paper Series 3, National Centre for Econometric Research.
  106. Efstathios Panayi & Gareth Peters, 2015. "Stochastic simulation framework for the Limit Order Book using liquidity motivated agents," Papers 1501.02447, arXiv.org, revised Jan 2015.
  107. Wilbert van der Klaauw & Kenneth I. Wolpin, 2005. "Social Security and the Retirement and Savings Behavior of Low Income Households," PIER Working Paper Archive 05-020, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania.
  108. Skaug, Hans J. & Yu, Jun, 2014. "A flexible and automated likelihood based framework for inference in stochastic volatility models," Computational Statistics & Data Analysis, Elsevier, vol. 76(C), pages 642-654.
  109. Carrasco, Marine & Florens, Jean-Pierre, 2014. "On The Asymptotic Efficiency Of Gmm," Econometric Theory, Cambridge University Press, vol. 30(02), pages 372-406, April.
  110. Martin Browning & Mette Ejrnæs & Javier Alvarez, 2010. "Modelling Income Processes with Lots of Heterogeneity," Review of Economic Studies, Oxford University Press, vol. 77(4), pages 1353-1381.
  111. Becker, Ralf, 1998. "Die verallgemeinerte Momentenmethode: Darstellung und Anwendung," Arbeitspapiere des Instituts für Statistik und Ökonometrie 16, Johannes Gutenberg-Universität Mainz, Institut für Statistik und Ökonometrie.
  112. Iryna V. Ivaschenko & Jorge A. Chan-Lau, 2001. "Corporate Bond Risk and Real Activity; An Empirical Analysis of Yield Spreads and Their Systematic Components," IMF Working Papers 01/158, International Monetary Fund.
  113. Parrini, Alessandro, 2012. "Indirect estimation of GARCH models with alpha-stable innovations," MPRA Paper 38544, University Library of Munich, Germany.
  114. Otranto, Edoardo & Calzolari, Giorgio & Di Iorio, Francesca, 2005. "Indirect estimation of Markov switching models with endogenous switching," MPRA Paper 22983, University Library of Munich, Germany, revised 2005.
  115. Torben G. Andersen & Luca Benzoni & Jesper Lund, 2002. "An Empirical Investigation of Continuous-Time Equity Return Models," Journal of Finance, American Finance Association, vol. 57(3), pages 1239-1284, 06.
  116. Calzolari, G. & Fiorentini, G. & Sentana, E., 2000. "Constrained EMM and Indirect Inference Estimation," Papers 0005, Centro de Estudios Monetarios Y Financieros-.
  117. Li, Tong, 2009. "Simulation based selection of competing structural econometric models," Journal of Econometrics, Elsevier, vol. 148(2), pages 114-123, February.
  118. Korhonen, Iikka & Peresetsky, Anatoly, 2013. "Extracting global stochastic trend from non-synchronous data," BOFIT Discussion Papers 15/2013, Bank of Finland, Institute for Economies in Transition.
  119. Dungey, Mardi & Fry, Renee & Gonzalez-Hermosillo, Brenda & Martin, Vance, 2006. "Contagion in international bond markets during the Russian and the LTCM crises," Journal of Financial Stability, Elsevier, vol. 2(1), pages 1-27, April.
  120. Mark Broadie & Jérôme B. Detemple & Eric Ghysels & Olivier Torrès, 1996. "Nonparametric Estimation of American Options Exercise Boundaries and Call Prices," CIRANO Working Papers 96s-24, CIRANO.
  121. Neil Shephard & Ole E. Barndorff-Nielsen, 1998. "Aggregation and model construction for volatility models," Economics Series Working Papers 1998-W07, University of Oxford, Department of Economics.
  122. Pastorello, Sergio & Patilea, Valentin & Renault, Eric, 2003. "Iterative and Recursive Estimation in Structural Nonadaptive Models," Journal of Business & Economic Statistics, American Statistical Association, vol. 21(4), pages 449-82, October.
  123. Nikolai Roussanov & Michael Michaux & Hui Chen, 2011. "Houses as ATMs? Mortgage Refinancing and Macroeconomic Uncertainty," 2011 Meeting Papers 1369, Society for Economic Dynamics.
  124. Pablo Mitnik & Sunyoung Baek, 2013. "The Kumaraswamy distribution: median-dispersion re-parameterizations for regression modeling and simulation-based estimation," Statistical Papers, Springer, vol. 54(1), pages 177-192, February.
  125. Roger WALDER, 2002. "Interactions Between Market and Credit Risk: Modeling the Joint Dynamics of Default-Free and Defaultable Bond Term Structures," FAME Research Paper Series rp56, International Center for Financial Asset Management and Engineering.
  126. Eric Guysels & Alain Guay, 1998. "Structural Change Tests for Simulated Method of Moments," Cahiers de recherche CREFE / CREFE Working Papers 61, CREFE, Université du Québec à Montréal.
  127. Stelios Arvanitis & Antonis Demos, 2014. "On the Validity of Edgeworth Expansions and Moment Approximations for Three Indirect Inference Estimators," DEOS Working Papers 1406, Athens University of Economics and Business.
  128. Song, Zhaogang, 2011. "A martingale approach for testing diffusion models based on infinitesimal operator," Journal of Econometrics, Elsevier, vol. 162(2), pages 189-212, June.
  129. Asai, Manabu, 2008. "Autoregressive stochastic volatility models with heavy-tailed distributions: A comparison with multifactor volatility models," Journal of Empirical Finance, Elsevier, vol. 15(2), pages 332-341, March.
  130. Veiga, Helena & Bretó, Carles, 2011. "Forecasting volatility: does continuous time do better than discrete time?," DES - Working Papers. Statistics and Econometrics. WS ws112518, Universidad Carlos III de Madrid. Departamento de Estadística.
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  132. Gabriele Fiorentini & Giorgio Calzolari & Enrique Sentana, 2007. "Indirect estimation of large conditionally heteroskedastic factor models, with an application to the Dow 30 stocks," Working Paper Series 40_07, The Rimini Centre for Economic Analysis.
  133. Enrique Sentana & Giorgio Calzolari & Gabriele Fiorentini, 2004. "Indirect Estimation Of Conditionally Heteroskedastic Factor Models," Working Papers wp2004_0409, CEMFI.
  134. Zongwu Cai & Yongmiao Hong, 2013. "Some Recent Developments in Nonparametric Finance," WISE Working Papers 2013-10-14, Wang Yanan Institute for Studies in Economics (WISE), Xiamen University.
  135. Davide Raggi & Silvano Bordignon, 2011. "Volatility, Jumps, and Predictability of Returns: A Sequential Analysis," Econometric Reviews, Taylor & Francis Journals, vol. 30(6), pages 669-695.
  136. Henrik Amilon, 2003. "Estimation of an Adaptive Stock Market Model with Heterogeneous Agents," Research Paper Series 107, Quantitative Finance Research Centre, University of Technology, Sydney.
  137. Robert Azencott & Yutheeka Gadhyan & Roland Glowinski, 2014. "Option Pricing Accuracy for Estimated Heston Models," Papers 1404.4014, arXiv.org, revised Jul 2015.
  138. Ghysels, E. & Khalaf, L. & Vodounou, C., 1995. "Simulation Based Inference in Moving Average Models," Cahiers de recherche 9513, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
  139. Nickl, Richard & Pötscher, Benedikt M., 2009. "Efficient Simulation-Based Minimum Distance Estimation and Indirect Inference," MPRA Paper 16608, University Library of Munich, Germany.
  140. Markus Leippold & Liuren Wu, 2002. "Design and Estimation of Quadratic Term Structure Models," Finance 0207014, EconWPA.
  141. Peter Hördahl & David Vestin, 2005. "Interpreting Implied Risk-Neutral Densities: The Role of Risk Premia," Review of Finance, Springer, vol. 9(1), pages 97-137, 03.
  142. Yu, Jun, 2014. "Econometric Analysis Of Continuous Time Models: A Survey Of Peter Phillips’S Work And Some New Results," Econometric Theory, Cambridge University Press, vol. 30(04), pages 737-774, August.
  143. Antonis Demos & Stelios Arvanitis, 2010. "A New Class of Indirect Estimators and Bias Correction," DEOS Working Papers 1023, Athens University of Economics and Business.
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