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

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Date
1995-01-01
Authors
Bansal, R
Gallant, AR
Hussey, R
Tauchen, G
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Abstract
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 account for nonlinearities in weekly data. The model incorporates time-nonseparable preferences and a transaction cost technology. Simulated sample paths are generated using Marcet's parameterized expectations procedure. The paper also develops a new method for estimation of structural economic models. The method forces the model to match (under a GMM criterion) the score function of a nonparametric estimate of the conditional density of observed data. The estimation uses weekly U.S.-German currency market data, 1975-90. © 1995.
Type
Journal article
Permalink
https://hdl.handle.net/10161/1902
Published Version (Please cite this version)
10.1016/0304-4076(94)01618-A
Publication Info
Bansal, R; Gallant, AR; Hussey, R; & Tauchen, G (1995). Nonparametric estimation of structural models for high-frequency currency market data. Journal of Econometrics, 66(1-2). pp. 251-287. 10.1016/0304-4076(94)01618-A. Retrieved from https://hdl.handle.net/10161/1902.
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Scholars@Duke

Bansal

Ravi Bansal

J.B. Fuqua Distinguished Professor of Business Administration
Prof. Ravi Bansal is J.B. Fuqua Professor of Finance and Economics at Duke University and Research Associate at the NBER. He is a leader in the fields finance and macroeconomics and has published extensively in leading journals such as the Journal of Finance, American Economic Review and the Journal of Political Economy. His research provides new insights about the connections between economic growth and uncertainty to bond, equity, and currency markets. His pioneering work on identifying risks
Tauchen

George E. Tauchen

William Henry Glasson Distinguished Professor Emeritus
George Tauchen is the William Henry Glasson Professor of Economics and professor of finance at the Fuqua School of Business. He joined the Duke faculty in 1977 after receiving his Ph.D. from the University of Minnesota. He did his undergraduate work at the University of Wisconsin. Professor Tauchen is a fellow of the Econometric Society, the American Statistical Association, the Journal of Econometrics, and the Society for Financial Econometrics (SoFie). He is also the 2003 Duke University Sc
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