-
作者：Pablo Rincon-Zapatero, Juan; Rodriguez-Palmero, Carlos
作者单位：Universidad Carlos III de Madrid; Universidad de Valladolid
-
作者：Kasahara, Hiroyuki; Shimotsu, Katsumi
作者单位：Western University (University of Western Ontario); Queens University - Canada
摘要：In dynamic discrete choice analysis, controlling for unobserved heterogeneity is an important issue, and finite mixture models provide flexible ways to account for it. This paper studies nonparametric identifiability of type probabilities and type-specific component distributions in finite mixture models of dynamic discrete choices. We derive sufficient conditions for nonparametric identification for various finite mixture models of dynamic discrete choices used in applied work under different...
-
作者：Hansen, Lars Peter; Scheinkman, Jose A.
作者单位：University of Chicago; Princeton University
摘要：We create an analytical structure that reveals the long-run risk-return relationship for nonlinear continuous-time Markov environments. We do so by studying an eigenvalue problem associated with a positive eigenfunction for a conveniently chosen family of valuation operators. The members of this family are indexed by the elapsed time between payoff and valuation dates, and they are necessarily related via a mathematical structure called a semigroup. We represent the semigroup using a positive ...
-
作者：Sinclair-Desgagne, Bernard
作者单位：Universite de Montreal; HEC Montreal; Universite de Montreal; Institut Polytechnique de Paris; Ecole Polytechnique
-
作者：Goncalves, Silvia; Meddahi, Nour
作者单位：Universite de Montreal; Universite de Montreal; Imperial College London
摘要：We propose bootstrap methods for a general class of nonlinear transformations of realized volatility which includes the raw version of realized volatility and its logarithmic transformation as special cases. We consider the independent and identically distributed (i.i.d.) bootstrap and the wild bootstrap (WB), and prove their first-order asymptotic validity under general assumptions on the log-price process that allow for drift and leverage effects. We derive Edgeworth expansions in a simpler ...
