Browsing Duke Faculty Scholarship by Author "Hussey, Robert"

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Nonparametric estimation of structural models for high-frequency currency market data

Bansal, Ravi; Gallant, A. Ronald; Hussey, Robert; Tauchen, George (Journal of Econometrics, 1995)

Empirical modeling of high-frequency currency market data reveals substantial evidence for nonnormality, stochastic volatility, and other nonlinearities. This paper investigates whether an equilibrium monetary model can ...
Quadrature-Based Methods for Obtaining Approximate Solutions to Nonlinear Asset Pricing Models

Tauchen, George; Hussey, Robert (Econometrica, 1991)

The paper develops a discrete state space solution method for a class of nonlinear rational expectations models. The method works by using numerical quadrature rules to approximate the integral operators that arise in ...