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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. 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.
  2. 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.
  3. 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.).
  4. Antonio Merlo & Áureo de Paula, 2015. "Identification and estimation of preference distributions when voters are ideological," CeMMAP working papers CWP50/15, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
  5. Gallant, A. Ronald & Hsieh, David & Tauchen, George, 1995. "Estimation of Stochastic Volatility Models with Diagnostics," Working Papers 95-36, Duke University, Department of Economics.
  6. 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.
  7. León, à ngel & Mencía, Javier & Sentana, Enrique, 2009. "Parametric Properties of Semi-Nonparametric Distributions, with Applications to Option Valuation," Journal of Business & Economic Statistics, American Statistical Association, vol. 27(2), pages 176-192.
  8. 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.
  9. Del Brio, Esther B. & Ñíguez, Trino-Manuel & Perote, Javier, 2008. "Multivariate Gram-Charlier Densities," MPRA Paper 29073, University Library of Munich, Germany.
  10. Coppejans, Mark & Gallant, A. Ronald, 2002. "Cross-validated SNP density estimates," Journal of Econometrics, Elsevier, vol. 110(1), pages 27-65, September.
  11. 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.
  12. Massimo Guidolin & Giovanna Nicodano, 2009. "Small caps in international equity portfolios: the effects of variance risk," Annals of Finance, Springer, vol. 5(1), pages 15-48, January.
  13. 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.
  14. 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 203-227.
  15. Mikhail Chernov & Eric Ghysels, 1998. "What Data Should Be Used to Price Options?," CIRANO Working Papers 98s-22, CIRANO.
  16. Ronald Gallant, A. & Tauchen, George, 1999. "The relative efficiency of method of moments estimators1," Journal of Econometrics, Elsevier, vol. 92(1), pages 149-172, September.
  17. 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.
  18. Ming Liu & Harold H. Zhang, "undated". "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.
  19. 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.
  20. 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.
  21. Javier Mencía & Enrique Sentana, 2015. "Volatility-Related Exchange Traded Assets: An Econometric Investigation," Working Papers wp2015_1501, CEMFI.
  22. Liesenfeld, Roman & Breitung, Jörg, 1998. "Simulation based methods of moments in empirical finance," Tübinger Diskussionsbeiträge 136, University of Tübingen, School of Business and Economics.
  23. repec:cmf:wpaper:wp2005_0509 is not listed on IDEAS
  24. Eric Ghysels & Alain Guay, 2001. "Testing for Structural Change in the Presence of Auxiliary Models," CIRANO Working Papers 2001s-54, CIRANO.
  25. 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.
  26. 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.
  27. 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.
  28. León, Angel & Moreno, Manuel, 2017. "One-sided performance measures under Gram-Charlier distributions," Journal of Banking & Finance, Elsevier, vol. 74(C), pages 38-50.
  29. Dante Jara, 2004. "Un Modelo Estadístico Flexible para la Estructura Intertemporal de Tasas en Chile," Econometrics 0412010, EconWPA.
  30. 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.
  31. 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.
  32. 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).
  33. Irina Irincheeva & Eva Cantoni & Marc G. Genton, 2009. "Generalized linear la tent variable models with flexible distribution of latent variables," Research Papers by the Institute of Economics and Econometrics, Geneva School of Economics and Management, University of Geneva 2009.08, Institut d'Economie et Econométrie, Université de Genève.
  34. 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.
  35. Teruko Takada, 2001. "Nonparametric density estimation: A comparative study," Economics Bulletin, AccessEcon, vol. 3(16), pages 1-10.
  36. 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.
  37. 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.
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