Unified inference for nonlinear factor models from panels with fixed and large time span

DOI10.1016/j.jeconom.2019.04.018zbMath1452.62874MaRDI QIDQ2323363

Viktor Todorov, Rasmus T. Varneskov, Torben G. Andersen, Nicola Fusari

Publication date: 2 September 2019

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/10398/5c02d2a3-3987-457a-b8cb-17ed04ffb1ab

zbMATH Keywords

options; asymptotic bias; stochastic volatility; panel data; inference; stable convergence; large data sets; incidental parameter problem; nonlinear factor model

Mathematics Subject Classification ID

62P20: Applications of statistics to economics

62H25: Factor analysis and principal components; correspondence analysis

62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)

62P05: Applications of statistics to actuarial sciences and financial mathematics

91G20: Derivative securities (option pricing, hedging, etc.)

Related Items

SPATIAL DEPENDENCE IN OPTION OBSERVATION ERRORS, INFERENCE FOR OPTION PANELS IN PURE-JUMP SETTINGS, Semiparametric estimation of latent variable asset pricing models

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Jump-robust volatility estimation using nearest neighbor truncation
• Empirical option pricing: A retrospection
• The incidental parameter problem since 1948
• Limit theory for panel data models with cross sectional dependence and sequential exogeneity
• EFFICIENCY IN LARGE DYNAMIC PANEL MODELS WITH COMMON FACTORS
• BIAS REDUCTION FOR DYNAMIC NONLINEAR PANEL MODELS WITH FIXED EFFECTS
• Efficient Derivative Pricing by the Extended Method of Moments
• Robust Priors in Nonlinear Panel Data Models
• Asymptotically Efficient Estimation in the Presence of Heteroskedasticity of Unknown Form
• Transform Analysis and Asset Pricing for Affine Jump-diffusions
• Parametric Inference and Dynamic State Recovery From Option Panels
• Panel data models with nonadditive unobserved heterogeneity: Estimation and inference
• Cross-Section Regression with Common Shocks
• Inferential Theory for Factor Models of Large Dimensions
• Determining the Number of Factors in Approximate Factor Models
• Asymptotically Unbiased Inference for a Dynamic Panel Model with Fixed Effects when Both n and T Are Large
• Consistent Estimates Based on Partially Consistent Observations
• Maximum Likelihood Estimation of Misspecified Models
• Individual and time effects in nonlinear panel models with large \(N\), \(T\)