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2010), Estimation of conditional moment restrictions without assuming parameter identifiability in the implied unconditional moments
 Journal of Econometrics, this issue
"... A well known difficulty in estimating conditional moment restrictions is that the parameters of interest need not be globally identified by the implied unconditional moments. In this paper, we propose an approach to constructing a continuum of unconditional moments that can ensure parameter identifi ..."
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Cited by 3 (0 self)
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A well known difficulty in estimating conditional moment restrictions is that the parameters of interest need not be globally identified by the implied unconditional moments. In this paper, we propose an approach to constructing a continuum of unconditional moments that can ensure parameter
Using Implied Probabilities to Improve Estimation with Unconditional Moment Restrictions
"... québécois de la recherche sur la société et la culture (FQRSC). The views in this paper are those of the authors and not necessarily those of their respective institutions. ..."
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québécois de la recherche sur la société et la culture (FQRSC). The views in this paper are those of the authors and not necessarily those of their respective institutions.
A Scaled Difference Chisquare Test Statistic for Moment Structure Analysis
"... A family of scaling corrections aimed to improve the chisquare approximation of goodnessoffit test statistics in small samples, large models, and nonnormal data was proposed in Satorra and Bentler (1994). For structural equations models, SatorraBentler's (SB) scaling corrections are availab ..."
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Cited by 265 (1 self)
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are available in standard computer software. Often, however, the interest is not on the overall fit of a model, but on a test of the restrictions that a null model say M 0 implies on a less restricted one M 1 .IfT 0 and T 1 denote the goodnessoffit test statistics associated to M 0 and M 1
Consistent Parameter Estimation for Conditional Moment Restrictions
"... 2415H001034) for C.M. Kuan is gratefully acknowledged. In estimating conditional moment restrictions, a well known difficulty is that the estimator based on a set of implied unconditional moments may lose its consistency when the parameters of interest are not globally identified. In this paper ..."
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2415H001034) for C.M. Kuan is gratefully acknowledged. In estimating conditional moment restrictions, a well known difficulty is that the estimator based on a set of implied unconditional moments may lose its consistency when the parameters of interest are not globally identified
Testing for NonNested Conditional Moment Restrictions using Unconditional Empirical Likelihood
, 2008
"... We propose nonnested hypotheses tests for conditional moment restriction models based on the method of generalized empirical likelihood (GEL). By utilizing the implied GEL probabilities from a sequence of unconditional moment restrictions that contains equivalent information of the conditional mome ..."
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Cited by 8 (2 self)
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We propose nonnested hypotheses tests for conditional moment restriction models based on the method of generalized empirical likelihood (GEL). By utilizing the implied GEL probabilities from a sequence of unconditional moment restrictions that contains equivalent information of the conditional
The moment formula for implied volatility at extreme strikes
 Mathematical Finance
, 2004
"... Consider options on a nonnegative underlying random variable with arbitrary distribution. In the absence of arbitrage, we show that at any maturity T, the largestrike tail of the BlackScholes implied volatility skew is bounded by the square root of 2x/T, where x is logmoneyness. The smallest co ..."
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Cited by 84 (5 self)
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Consider options on a nonnegative underlying random variable with arbitrary distribution. In the absence of arbitrage, we show that at any maturity T, the largestrike tail of the BlackScholes implied volatility skew is bounded by the square root of 2x/T, where x is logmoneyness. The smallest
Asymptotic theory for a vector ARMAGARCH model. Econometric Theory 19
, 2003
"... This paper investigates the asymptotic theory for a vector ARMAGARCH model. The conditions for the strict stationarity, ergodicity, and the higherorder moments of the model are established. Consistency of the quasi maximum likelihood estimator (QMLE) is proved under only the secondorder moment ..."
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Cited by 178 (85 self)
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condition. This consistency result is new, even for the univariate ARCH and GARCH models. Moreover, the asymptotic normality of the QMLE for the vector ARCH model is obtained under only the secondorder moment of the unconditional errors, and the finite fourthorder moment of the conditional errors. Under
How Costly is External Financing? Evidence from a Structural Estimation
 Journal of Finance
, 2007
"... This paper applies simulated method of moments to a dynamic structural model to infer the magnitude of external financing costs. The model features endogenous investment, cash distributions, leverage, and default. The corporation faces taxation, costly bankruptcy, and linearquadratic equity flotati ..."
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Cited by 189 (20 self)
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This paper applies simulated method of moments to a dynamic structural model to infer the magnitude of external financing costs. The model features endogenous investment, cash distributions, leverage, and default. The corporation faces taxation, costly bankruptcy, and linearquadratic equity
The Finite Moment Log Stable Process and Option Pricing
, 2002
"... We document a surprising pattern in market prices of S&P 500 index options. When implied volatilities are graphed against a standard measure of moneyness, the implied volatility smirk does not flatten out as maturity increases up to the observable horizon of two years. This behavior contrasts sh ..."
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Cited by 116 (13 self)
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We document a surprising pattern in market prices of S&P 500 index options. When implied volatilities are graphed against a standard measure of moneyness, the implied volatility smirk does not flatten out as maturity increases up to the observable horizon of two years. This behavior contrasts
Conditional Moment Restrictions
, 2011
"... This paper proposes a simple, fairly general, test for global identification of unconditional moment restrictions implied from point identified conditional moment restrictions. The test is based on the Hausdorff distance between an estimator that is consistent even under global identification fail ..."
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This paper proposes a simple, fairly general, test for global identification of unconditional moment restrictions implied from point identified conditional moment restrictions. The test is based on the Hausdorff distance between an estimator that is consistent even under global identification
Results 1  10
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1,722