Zobrazeno 1 - 10
of 181
pro vyhledávání: '"Kristensen, Dennis"'
This paper develops power series expansions of a general class of moment functions, including transition densities and option prices, of continuous-time Markov processes, including jump--diffusions. The proposed expansions extend the ones in Kristens
Externí odkaz:
http://arxiv.org/abs/2308.09009
Publikováno v:
In Journal of Economic Dynamics and Control November 2024 168
We propose a new semiparametric approach for modelling nonlinear univariate diffusions, where the observed process is a nonparametric transformation of an underlying parametric diffusion (UPD). This modelling strategy yields a general class of semipa
Externí odkaz:
http://arxiv.org/abs/2005.03513
Autor:
Fosgerau, Mogens, Kristensen, Dennis
We establish nonparametric identification in a class of so-called index models using a novel approach that relies on general topological results. Our proof strategy requires substantially weaker conditions on the functions and distributions character
Externí odkaz:
http://arxiv.org/abs/2004.07900
Autor:
Kristensen, Dennis, Lee, Young Jun
We develop a novel asymptotic theory for local polynomial (quasi-) maximum-likelihood estimators of time-varying parameters in a broad class of nonlinear time series models. Under weak regularity conditions, we show the proposed estimators are consis
Externí odkaz:
http://arxiv.org/abs/1904.05209
We propose to combine smoothing, simulations and sieve approximations to solve for either the integrated or expected value function in a general class of dynamic discrete choice (DDC) models. We use importance sampling to approximate the Bellman oper
Externí odkaz:
http://arxiv.org/abs/1904.05232
Publikováno v:
In Journal of Econometrics August 2021 223(2):328-360
Publikováno v:
In Journal of Econometrics April 2021 221(2):616-643
In this paper we propose and study local linear and polynomial based estimators for implementing Approximate Bayesian Computation (ABC) style indirect inference and GMM estimators. This method makes use of nonparametric regression in the computation
Externí odkaz:
http://arxiv.org/abs/1512.07385
Autor:
Kristensen, Dennis
This thesis concerns semiparametric modelling and estimation of diffusion models, and the application of these in mathematical finance. Two general classes of semiparametric scalar diffusion models are proposed, and an estimator of the drift and the
Externí odkaz:
http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.645585