Nonparametric estimation of structural models for high-frequency currency market data
From MaRDI portal
Recommendations
- Nonparametric estimation of stochastic volatility models
- Nonparametric estimation of nonlinear rational expectation models
- Estimating high-frequency foreign exchange rate volatility with nonparametric ARCH models
- Generalized method of integrated moments for high-frequency data
- Nonparametric vector autoregression
Cites work
- scientific article; zbMATH DE number 3988509 (Why is no real title available?)
- scientific article; zbMATH DE number 88834 (Why is no real title available?)
- A time series analysis of representative agent models of consumption and leisure choice under uncertainty
- ARCH modeling in finance. A review of the theory and empirical evidence
- Asymptotic Normality of Series Estimators for Nonparametric and Semiparametric Regression Models
- Asymptotic normality and consistency of semi-nonparametric regression estimators using an upwards \(F\) test truncation rule
- Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
- Closest Empirical Distribution Estimation
- Conditional Heteroskedasticity in Asset Returns: A New Approach
- Distribution of the Estimators for Autoregressive Time Series With a Unit Root
- Estimating the dimension of a model
- Generalized Instrumental Variables Estimation of Nonlinear Rational Expectations Models
- Large Sample Properties of Generalized Method of Moments Estimators
- Nonparametric estimation of structural models for high-frequency currency market data
- On the asymptotic normality of Fourier flexible form estimates
- Quadrature-Based Methods for Obtaining Approximate Solutions to Nonlinear Asset Pricing Models
- Rational transfer function approximation (with discussion)
- Seminonparametric Estimation of Conditionally Constrained Heterogeneous Processes: Asset Pricing Applications
- Simulated Moments Estimation of Markov Models of Asset Prices
- Simulation estimation of time-series models
- The Interaction Between Time-Nonseparable Preferences and Time Aggregation
- The relative efficiency of method of moments estimators
- Using conditional moments of asset payoffs to infer the volatility of intertemporal marginal rates of substitution
- Variance Function Estimation
Cited in
(21)- MODELING HIGH-FREQUENCY FOREIGN EXCHANGE DATA DYNAMICS
- Simulation-based estimation methods for financial time series models
- On the existence of strongly consistent indirect estimators when the binding function is compact valued
- Indirect inference and calibration of dynamic stochastic general equilibrium models
- scientific article; zbMATH DE number 5002328 (Why is no real title available?)
- Pattern analysis of the nonparametric kernel regression method in foreign exchange markets
- Overparameterization in the seminonparametric density estimation
- An econometric model of the term structure of interest rates under regime-switching risk
- Estimation of stochastic volatility models with diagnostics
- Efficient method of moments estimation of a stochastic volatility model: A Monte Carlo study
- A GENERAL EQUILIBRIUM MODEL OF THE TERM STRUCTURE OF INTEREST RATES UNDER REGIME-SWITCHING RISK
- Nonparametric estimation of structural models for high-frequency currency market data
- Qualitative and asymptotic performance of SNP density estimators
- Estimating continuous-time stochastic volatility models of the short-term interest rate
- Statistical nonlinearities in the business cycle: a challenge for the canonical RBC model
- Estimating the rational expectations model of speculative storage: a Monte Carlo comparison of three simulation estimators
- Structural estimation of switching costs for peaking power plants
- Reduced-form models with regime switching: An empirical analysis for corporate bonds
- Discrete-time implementation of continuous-time filters with application to regime-switching dynamics estimation
- Parametric and nonparametric models and methods in financial econometrics
- On the validity of Edgeworth expansions and moment approximations for three indirect inference estimators
This page was built for publication: Nonparametric estimation of structural models for high-frequency currency market data
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1347106)
