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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...
In many economic models, objects of interest are functions which satisfy conditional moment restrictions. Economics does not restrict the functional form of these models, motivating nonparametric meth...
American Options Based on Malliavin Calculus and Nonparametric Variance Reduction Methods
American Options Malliavin Calculus Monte Carlo GPU
2011/7/25
Abstract: This paper is devoted to pricing American options using Monte Carlo and the Malliavin calculus. Unlike the majority of articles related to this topic, in this work we will not use localizati...
Nonparametric Estimation Of Varying Coefficient Dynamic Panel Data Models
semiparametric dynamic NPGMM consistency asymptotic
2011/4/2
We suggest using a class of semiparametric dynamic panel data models to capture
individual variations in panel data. The model assumes linearity in some
continuous/discrete variables that can be exo...
Some Recent Developments on Nonparametric Econometrics
nonparametric estimation nonparametric models instrumental variables nonparametric estimation of conditional
2011/4/2
In this paper, we survey some recent developments of nonparametric econometrics in the following areas: (i) nonparametric estimation of regression models with mixed discrete and continuous data; (ii) ...
Some Recent Developments in Nonparametric Finance
nonparametric methods time finance financial data
2011/4/2
This paper gives a selective review on some recent developments of nonparametric methods in both continuous and discrete time finance, particularly in the areas of nonparametric estimation and testing...
Characteristic Function-Based Testing for Multifactor Continuous-Time Markov Models via Nonparametric Regression
Characteristic Function Markov models conditional distribution
2011/4/2
We develop a nonparametric regression-based goodness-of-fit test for multifactor continuous-time Markov models using the conditional characteristic function, which often has a convenient closed form o...
Characteristic Function-Based Testing for Multifactor Continuous-Time Markov Models via Nonparametric Regression
nonparametric regression economics and finance easy-to-interpret diagnostic procedures
2011/4/1
We develop a nonparametric regression-based goodness-of-fit test for multifactor continuous-time Markov models using the conditional characteristic function, which often has a convenient closed form o...
Nonparametric Regression With Nearly Integrated Regressors Under Long Run Dependence
Asymptotics kernel smoothing local time of an Ornstein-Uhlenbeck fractional Brownian motion nonlinearity nonstationary covariates unit root
2011/4/2
We study nonparametric estimation of regression function with nonstationary (integrated or nearly integrated) covariates and the error series of the regressor process following a fractional ARIMA mode...
Nonparametric methods for volatility density estimation
stochastic volatility models deconvolution density estimation kernel estimator wavelets minimum contrast estimation
2010/11/2
Stochastic volatility modelling of nancial processes has become increasingly popular. The proposed models usually contain a stationary volatility process. We will motivate and review several nonparam...
Pricing Bermudan options using nonparametric regression: optimal rates of convergence for lower estimates
Bermudan options Nonparametric regression Boundary condition；Suboptimal stopping rule
2010/11/1
The problem of pricing Bermudan options using Monte Carlo and a nonparametric regression is considered. We derive optimal nonasymptotic bounds for a lower biased estimate based on the suboptimal stopp...
NONPARAMETRIC TESTS OF THE MARKOV HYPOTHESIS IN CONTINUOUS-TIME MODELS
Markov hypothesis Chapman–Kolmogorov equation locally linear smoother transition density diffusion
2014/3/13
We propose several statistics to test the Markov hypothesis forβ-mixing stationary processes sampled at discrete time intervals. Our tests are based on the Chapman–Kolmogorov equation. We establish th...
State price density estimation via nonparametric mixtures
Black–Scholes equation European call options nonparametric mixture state price density
2010/11/2
We consider nonparametric estimation of the state price density encapsulated in option prices. Unlike usual density estimation problems,we only observe option prices and their corresponding strike pri...
Nonparametric Quantile Estimations for Dynamic Smooth Coefficient Models
Bandwidth selection Boundary effect Covariance estimation Kernel smoothing method Nonlinear time series Quantile regression Value-at-risk Varying coefficients
2011/4/2
We suggest quantile regression methods for a class of smooth coefficient time series models. We use both local polynomial and local constant fitting schemes to estimate the smooth coefficients in a qu...
Nonparametric estimation of conditional VaR and expected shortfall
Boundary effects, Empirical likelihood, Expected shortfall, Local linear estimation,Nonparametric smoothing, Value-at-risk, Weighted double kernel
2011/4/2
This paper considers a new nonparametric estimation of conditional value-at-risk and expected shortfall functions. Conditional value-at-risk is estimated by inverting the weighted double kernel local ...