Now showing items 1-10 of 14
Quadrature-Based Methods for Obtaining Approximate Solutions to Nonlinear Asset Pricing Models
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 ...
Rational Pessimism, Rational Exuberance, and Asset Pricing Models
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 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. ...
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 ...
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 ...
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 ...