Show simple item record Bansal, R Gallant, AR Hussey, R Tauchen, G 2010-03-09T15:29:22Z 1995-01-01
dc.identifier.citation Journal of Econometrics, 1995, 66 (1-2), pp. 251 - 287
dc.identifier.issn 0304-4076
dc.description.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.
dc.format.extent 251 - 287
dc.format.mimetype application/pdf
dc.language.iso en_US
dc.relation.ispartof Journal of Econometrics
dc.relation.isversionof 10.1016/0304-4076(94)01618-A
dc.title Nonparametric estimation of structural models for high-frequency currency market data
dc.type Journal Article
dc.department Economics
pubs.issue 1-2
pubs.organisational-group /Duke
pubs.organisational-group /Duke/Faculty
pubs.organisational-group /Duke/Fuqua School of Business
pubs.organisational-group /Duke/Trinity College of Arts & Sciences
pubs.organisational-group /Duke/Trinity College of Arts & Sciences/Economics
pubs.publication-status Published
pubs.volume 66

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