-
作者：Andersen, TG; Bollerslev, T; Meddahi, N
作者单位：Northwestern University; National Bureau of Economic Research; Duke University; Universite de Montreal
摘要：We develop general model-free adjustment procedures for the calculation of unbiased volatility loss functions based on practically feasible realized volatility benchmarks. The procedures, which exploit recent nonparametric asymptotic distributional results, are both easy-to-implement and highly accurate in empirically realistic situations. We also illustrate that properly accounting for the measurement errors in the volatility forecast evaluations reported in the existing literature can result...
-
作者：Santos, MS; Peralta-Alva, A
作者单位：Arizona State University; Arizona State University-Tempe; University of Miami
摘要：This paper is concerned with accuracy properties of simulations of approximate solutions for stochastic dynamic models. Our analysis rests upon a continuity property of invariant distributions and a generalized law of large numbers. We then show that the statistics generated by any sufficiently good numerical approximation are arbitrarily close to the set of expected values of the model's invariant distributions. Also, under a contractivity condition on the dynamics, we establish error bounds....
-
作者：Hart, S
摘要：We exhibit a large class of simple rules of behavior, which we call adaptive heuristics, and show that they generate rational behavior in the long run. These adaptive heuristics are based on natural regret measures, and may be viewed as a bridge between rational and behavioral viewpoints. Taken together, the results presented here establish a solid connection between the dynamic approach of adaptive heuristics and the static approach of correlated equilibria.
-
作者：Gomes, A
作者单位：University of Pennsylvania
摘要：This paper proposes a model for multilateral contracting, where contracts are written and renegotiated over time, and where contracts may impose externalities on other agents. Equilibria always exist and the equilibrium value function is linear and monotonically increasing on the contracts. If the grand coalition, or contracting among all agents, is inefficient, we show that bargaining delays arise in positive-externality games and equilibrium inefficiency may remain bounded away from zero eve...
-
作者：Hurvich, CM; Moulines, E; Soulier, P
作者单位：New York University
摘要：We consider semiparametric estimation of the memory parameter in a model that includes as special cases both long-memory stochastic volatility and fractionally integrated exponential GARCH (FIEGARCH) models. Under our general model the logarithms of the squared returns can be decomposed into the sum of a long-memory signal and a white noise. We consider periodogram-based estimators using a local Whittle criterion function. We allow the optional inclusion of an additional term to account for po...
-
作者：Tang, XL; King, I
作者单位：University of Auckland
-
作者：Duffie, D; Gârleanu, N; Pedersen, LH
作者单位：Stanford University; University of Pennsylvania; New York University
摘要：We study how intermediation and asset prices in over-the-counter markets are affected by illiquidity associated with search and bargaining. We compute explicitly the prices at which investors trade with each other, as well as marketmakers' bid and ask prices, in a dynamic model with strategic agents. Bid-ask spreads are lower if investors can more easily find other investors or have easier access to multiple marketmakers. With a monopolistic marketmaker, bid-ask spreads are higher if investors...
-
作者：Abrevaya, J; Haung, J
作者单位：Purdue University System; Purdue University; University of Iowa
摘要：This paper shows that the bootstrap does not consistently estimate the asymptotic distribution of the maximum score estimator. The theory developed also applies to other estimators within a cube-root convergence class. For some single-parameter estimators in this class, the results suggest a simple method for inference based upon the bootstrap.
-
作者：Altonji, JG; Matzkin, RL
作者单位：Yale University; Northwestern University
摘要：We propose two new methods for estimating models with nonseparable errors and endogenous regressors. The first method estimates a local average response. One estimates the response of the conditional mean of the dependent variable to a change in the explanatory variable while conditioning on an external variable and then undoes the conditioning. The second method estimates the nonseparable function and the joint distribution of the observable and unobservable explanatory variables. An external...
-
作者：Kocherlakota, NR
摘要：In this paper, I consider a dynamic economy in which a government needs to finance a stochastic process of purchases. The agents in the economy are privately informed about their skills, which evolve stochastically over time; I impose no restriction on the stochastic evolution of skills. I construct a tax system that implements a symmetric constrained Pareto optimal allocation. The tax system is constrained to be linear in an agent's wealth, but can be arbitrarily nonlinear in his current and ...
