Browsing by Author "Tauchen, G"
Now showing items 1-17 of 17
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Alternative models for stock price dynamics
(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 ... -
Diagnostic testing and evaluation of maximum likelihood models
(Journal of Econometrics, 1985-01-01)The paper develops a unified theory of likelihood specification testing based on M-estimators of auxiliary parameters. The theory is sufficiently general to encompass a wide class of specification tests including moment-based ... -
Estimation of continuous-time models for stock returns and interest rates
(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
(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 ... -
Frontiers of financial econometrics and financial engineering
(Journal of Econometrics, 2003-09-01)The papers in this volume represent the most recent advances in the intersection of the fields of financial econometrics and financial engineering. A collection of papers presented at a conference organized by the Guest ... -
Nonparametric estimation of structural models for high-frequency currency market data
(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 ... -
Notes on financial econometrics
(Journal of Econometrics, 2001-01-01)The first part of the discussion reviews recent successes in modeling of discrete time financial data and argues that a direct approach is better suited than stochastic volatility. The second part reviews recent work on ... -
Quadrature-Based Methods for Obtaining Approximate Solutions to Nonlinear Asset Pricing Models
(Econometrica, 1991-03) -
Rational Pessimism, Rational Exuberance, and Asset Pricing Models
(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, ... -
Risk, jumps, and diversification
(2008)We test for price discontinuities, or jumps, in a panel of high-frequency intraday stock returns and an equiweighted index constructed from the same stocks. Using a new test for common jumps that explicitly utilizes the ... -
Solving the stochastic growth model by using quadrature methods and value-function iterations
(Journal of Business and Economic Statistics, 1990-01-01)This article presents a solution algorithm for the capital growth model. The algorithm uses value- function iterations on a discrete state space. The quadrature method is used to set the grid for the exogenous process, and ... -
Stochastic Volatility in General Equilibrium
(Quarterly Journal of Finance, Forthcoming, 2012) -
The objective function of simulation estimators near the boundary of the unstable region of the parameter space
(Review of Economics and Statistics, 1998)The paper examines the role of stability constraints in estimation by dynamic simulation. In particular, it analyzes the behavior of the objective function on either side of the boundary of the stability region of the parameter ... -
The relative efficiency of method of moments estimators
(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. ... -
Volume, volatility, and leverage: A dynamic analysis
(Journal of Econometrics, 1996-09-01)This paper uses dynamic impulse response analysis to investigate the interrelationships among stock price volatility, trading volume, and the leverage effect. Dynamic impulse response analysis is a technique for analyzing ... -
Which moments to match?
(Econometric Theory, 1996-12-01)We describe an intuitive, simple, and systematic approach to generating moment conditions for generalized method of moments (GMM) estimation of the parameters of a structural model. The idea is to use the score of a density ...
