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

DOI10.1016/j.jeconom.2019.04.018zbMath1452.62874OpenAlexW2940370615WikidataQ128116679 ScholiaQ128116679MaRDI 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

optionsasymptotic biasstochastic volatilitypanel datainferencestable convergencelarge data setsincidental parameter problemnonlinear factor model

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Factor analysis and principal components; correspondence analysis (62H25) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (3)

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

Cites Work

• Unnamed Item
• 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
• 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 \(N\), \(T\)

This page was built for publication: Unified inference for nonlinear factor models from panels with fixed and large time span