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IDENTIFICATION IN ASCENDING AUCTIONS WITH ASYMMETRIC CORRELATED PRIVATE VALUES
ASYMMETRIC CORRELATED PRIVATE VALUES SCENDING AUCTIONS
2015/7/21
We present a nonparametric approach to identi cation in ascending
auctions when bidders may be asymmetric and have correlated private values. Our
approach builds on and generalizes that of Aradillas...
Local Identification of Nonparametric and Semiparametric Models
Identification local identification nonparametric models asset pricing
2014/9/9
In parametric, nonlinear structural models, a classical sufficient condition for local identification, like Fisher (1966) and Rothenberg (1971), is that the vector of moment conditions is differentiab...
How Fama Went Wrong: Measures of Multivariate Kurtosis for the Identification of the Dynamics of a N-Dimensional Market
Multivariate Kurtosis Dynamics N-Dimensional Market
2012/9/14
This paper investigates the common intuition suggesting that dur-ing crises the shape of the financial market clearly differentiates from that of random walk processes. In this sense, it challenges th...
Statistical identification with hidden Markov models of large order splitting strategies in an equity market
Statistical identification hidden Markov models splitting strategies equity market
2010/10/19
Large trades in a financial market are usually split into smaller parts and traded incrementally over extended periods of time. We address these large trades as hidden orders. In order to identify an...
This chapter studies the asymptotic properties of estimation and inference with weak identification and near exogeneity in a GMM framework with instrumental variables. We obtained limiting results und...