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  1. Estimation of volatility functions in jump diffusions using truncated bipower increments
    Author: Kim, Jihyun; Park, Joon Y.; Wang, Bin
    Published: [2020]
    Publisher:  Toulouse School of Economics, [Toulouse]

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    Verlag (kostenfrei)
    Verlag (kostenfrei)

    Location:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signature:
    VS 330
    Inter-library loan:
    No inter-library loan
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Series: Working papers / Toulouse School of Economics ; no 1096 (20)
    Subjects: nonparametric estimation; jump diffusion; asymptotics; diffusive and jump volatility functions; Lévy measure; optimal bandwidth; bipower increment; threshold truncation
    Scope: 1 Online-Ressource (circa 33 Seiten), Illustrationen
  2. Recovering latent variables by matching
    Author: Arellano, Manuel; Bonhomme, Stéphane
    Published: [2020]
    Publisher:  Cemmap, Centre for Microdata Methods and Practice, The Institute for Fiscal Studies, Department of Economics, UCL, [London]

    We propose an optimal-transport-based matching method to nonparametrically estimate linear models with independent latent variables. The method consists in generating pseudo-observations from the latent variables, so that the Euclidean distance... more

    Access:
    Verlag (kostenfrei)
    Resolving-System (kostenfrei)
    Resolving-System (kostenfrei)

    Location:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signature:
    DS 243
    Inter-library loan:
    No inter-library loan

     

    We propose an optimal-transport-based matching method to nonparametrically estimate linear models with independent latent variables. The method consists in generating pseudo-observations from the latent variables, so that the Euclidean distance between the model’s predictions and their matched counterparts in the data is minimized. We show that our nonparametric estimator is consistent, and we document that it performs well in simulated data. We apply this method to study the cyclicality of permanent and transitory income shocks in the Panel Study of Income Dynamics. We find that the dispersion of income shocks is approximately acyclical, whereas the skewness of permanent shocks is procyclical. By comparison, we find that the dispersion and skewness of shocks to hourly wages vary little with the business cycle.

     
    Export to reference management software   RIS file
      BibTeX file
    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Other identifier:
    hdl: 10419/241877
    Series: Cemmap working paper ; CWP20, 2
    Subjects: Latent variables; nonparametric estimation; matching; factor models; optimaltransport; income dynamics
    Scope: 1 Online-Ressource (circa 52 Seiten), Illustrationen