Now showing items 1-7 of 7

    • Alternative models for stock price dynamics 

      Tauchen, G; Chernov, M; Gallant, AR; Ghysels, E (Journal of Econometrics, 2003-09-01)
      This paper evaluates the role of various volatility specifications, such as multiple stochastic volatility (SV) factors and jump components, in appropriate modeling of equity return distributions. We use estimation technology ...
    • Estimation of continuous-time models for stock returns and interest rates 

      Gallant, AR; Tauchen, G (Macroeconomic Dynamics, 1997-12-01)
      Efficient Method of Moments is used to estimate and test continuous-time diffusion models for stock returns and interest rates. For stock returns, a four-state, two-factor diffusion with one state observed can account for ...
    • Estimation of stochastic volatility models with diagnostics 

      Gallant, AR; Hsiehb, D; Tauchen, G (Journal of Econometrics, 1997-11-01)
      Efficient method of moments (EMM) is used to fit the standard stochastic volatility model and various extensions to several daily financial time series. EMM matches to the score of a model determined by data analysis called ...
    • Nonparametric estimation of structural models for high-frequency currency market data 

      Bansal, R; Gallant, AR; Hussey, R; Tauchen, G (Journal of Econometrics, 1995-01-01)
      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 ...
    • Rational Pessimism, Rational Exuberance, and Asset Pricing Models 

      Bansal, R; Gallant, AR; Tauchen, G (1999)
      estimates and examines the empirical plausibility of asset pricing models that attempt to explain features of financial markets such as the size of the equity premium and the volatility of the stock market. In one model, ...
    • The relative efficiency of method of moments estimators 

      Gallant, AR; Tauchen, G (Journal of Econometrics, 1999-09-01)
      The asymptotic relative efficiency of efficient method of moments when implemented with a seminonparametric auxiliary model is compared to that of conventional method of moments when implemented with polynomial moment functions. ...
    • Using daily range data to calibrate volatility diffusions and extract the forward integrated variance 

      Hsu, G Tauchen with Chiente; Gallant, AR (Review of Economics and Statistics, 1999-11-01)
      A common model for security price dynamics is the continuous-time stochastic volatility model. For this model, Hull and White (1987) show that the price of a derivative claim is the conditional expectation of the Black-Scholes ...