Semiparametric Modeling of Implied Volatility

Semiparametric Modeling of Implied Volatility

Author: Matthias R. Fengler

Publisher: Springer Science & Business Media

Published: 2005-12-19

Total Pages: 232

ISBN-13: 3540305912

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This book offers recent advances in the theory of implied volatility and refined semiparametric estimation strategies and dimension reduction methods for functional surfaces. The first part is devoted to smile-consistent pricing approaches. The second part covers estimation techniques that are natural candidates to meet the challenges in implied volatility surfaces. Empirical investigations, simulations, and pictures illustrate the concepts.


Handbook of Econometrics

Handbook of Econometrics

Author:

Publisher: Elsevier

Published: 2020-11-25

Total Pages: 594

ISBN-13: 0444636544

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Handbook of Econometrics, Volume 7A, examines recent advances in foundational issues and "hot" topics within econometrics, such as inference for moment inequalities and estimation of high dimensional models. With its world-class editors and contributors, it succeeds in unifying leading studies of economic models, mathematical statistics and economic data. Our flourishing ability to address empirical problems in economics by using economic theory and statistical methods has driven the field of econometrics to unimaginable places. By designing methods of inference from data based on models of human choice behavior and social interactions, econometricians have created new subfields now sufficiently mature to require sophisticated literature summaries. - Presents a broader and more comprehensive view of this expanding field than any other handbook - Emphasizes the connection between econometrics and economics - Highlights current topics for which no good summaries exist


Essays in Honor of M. Hashem Pesaran

Essays in Honor of M. Hashem Pesaran

Author: Alexander Chudik

Publisher: Emerald Group Publishing

Published: 2022-01-18

Total Pages: 360

ISBN-13: 1802620613

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The collection of chapters in Volume 43 Part A of Advances in Econometrics serves as a tribute to one of the most innovative, influential, and productive econometricians of his generation, Professor M. Hashem Pesaran.


Econometrics as a Con Art

Econometrics as a Con Art

Author: Imad A. Moosa

Publisher: Edward Elgar Publishing

Published: 2017-07-28

Total Pages: 253

ISBN-13: 1785369954

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Imad Moosa challenges convention with this comprehensive and compelling critique of econometrics, condemning the common practices of misapplied statistical methods in both economics and finance.


Time Series in High Dimension: the General Dynamic Factor Model

Time Series in High Dimension: the General Dynamic Factor Model

Author: Marc Hallin

Publisher: World Scientific Publishing Company

Published: 2020-03-30

Total Pages: 764

ISBN-13: 9789813278004

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Factor models have become the most successful tool in the analysis and forecasting of high-dimensional time series. This monograph provides an extensive account of the so-called General Dynamic Factor Model methods. The topics covered include: asymptotic representation problems, estimation, forecasting, identification of the number of factors, identification of structural shocks, volatility analysis, and applications to macroeconomic and financial data.


Econometric Models For Industrial Organization

Econometric Models For Industrial Organization

Author: Matthew Shum

Publisher: World Scientific

Published: 2016-12-14

Total Pages: 154

ISBN-13: 981310967X

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Economic Models for Industrial Organization focuses on the specification and estimation of econometric models for research in industrial organization. In recent decades, empirical work in industrial organization has moved towards dynamic and equilibrium models, involving econometric methods which have features distinct from those used in other areas of applied economics. These lecture notes, aimed for a first or second-year PhD course, motivate and explain these econometric methods, starting from simple models and building to models with the complexity observed in typical research papers. The covered topics include discrete-choice demand analysis, models of dynamic behavior and dynamic games, multiple equilibria in entry games and partial identification, and auction models.


Semiparametric Regression with R

Semiparametric Regression with R

Author: Jaroslaw Harezlak

Publisher: Springer

Published: 2018-12-12

Total Pages: 341

ISBN-13: 1493988530

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This easy-to-follow applied book on semiparametric regression methods using R is intended to close the gap between the available methodology and its use in practice. Semiparametric regression has a large literature but much of it is geared towards data analysts who have advanced knowledge of statistical methods. While R now has a great deal of semiparametric regression functionality, many of these developments have not trickled down to rank-and-file statistical analysts. The authors assemble a broad range of semiparametric regression R analyses and put them in a form that is useful for applied researchers. There are chapters devoted to penalized spines, generalized additive models, grouped data, bivariate extensions of penalized spines, and spatial semi-parametric regression models. Where feasible, the R code is provided in the text, however the book is also accompanied by an external website complete with datasets and R code. Because of its flexibility, semiparametric regression has proven to be of great value with many applications in fields as diverse as astronomy, biology, medicine, economics, and finance. This book is intended for applied statistical analysts who have some familiarity with R.


Mixed Effects Models for Complex Data

Mixed Effects Models for Complex Data

Author: Lang Wu

Publisher: CRC Press

Published: 2009-11-11

Total Pages: 431

ISBN-13: 9781420074086

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Although standard mixed effects models are useful in a range of studies, other approaches must often be used in correlation with them when studying complex or incomplete data. Mixed Effects Models for Complex Data discusses commonly used mixed effects models and presents appropriate approaches to address dropouts, missing data, measurement errors, censoring, and outliers. For each class of mixed effects model, the author reviews the corresponding class of regression model for cross-sectional data. An overview of general models and methods, along with motivating examples After presenting real data examples and outlining general approaches to the analysis of longitudinal/clustered data and incomplete data, the book introduces linear mixed effects (LME) models, generalized linear mixed models (GLMMs), nonlinear mixed effects (NLME) models, and semiparametric and nonparametric mixed effects models. It also includes general approaches for the analysis of complex data with missing values, measurement errors, censoring, and outliers. Self-contained coverage of specific topics Subsequent chapters delve more deeply into missing data problems, covariate measurement errors, and censored responses in mixed effects models. Focusing on incomplete data, the book also covers survival and frailty models, joint models of survival and longitudinal data, robust methods for mixed effects models, marginal generalized estimating equation (GEE) models for longitudinal or clustered data, and Bayesian methods for mixed effects models. Background material In the appendix, the author provides background information, such as likelihood theory, the Gibbs sampler, rejection and importance sampling methods, numerical integration methods, optimization methods, bootstrap, and matrix algebra. Failure to properly address missing data, measurement errors, and other issues in statistical analyses can lead to severely biased or misleading results. This book explores the biases that arise when naïve methods are used and shows which approaches should be used to achieve accurate results in longitudinal data analysis.


Assets, Beliefs, and Equilibria in Economic Dynamics

Assets, Beliefs, and Equilibria in Economic Dynamics

Author: Charalambos D. Aliprantis

Publisher: Springer Science & Business Media

Published: 2013-11-11

Total Pages: 733

ISBN-13: 3662058588

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A collection of papers dealing with a broad range of topics in mathematical economics, game theory and economic dynamics. The contributions present both theoretical and applied research. The volume is dedicated to Mordecai Kurz. The papers were presented in a special symposium co-hosted by the Stanford University Department of Economics and by the Stanford Institute of Economic Policy Research in August 2002.