Nonparametric estimation of structural models for high-frequency currency market data
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.
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https://hdl.handle.net/10161/1902Published Version (Please cite this version)
10.1016/0304-4076(94)01618-APublication Info
(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.This is constructed from limited available data and may be imprecise. To cite this
article, please review & use the official citation provided by the journal.
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Show full item recordScholars@Duke
Ravi Bansal
J.B. Fuqua 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
George E. Tauchen
William Henry Glasson Professor of Economics
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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