A Brief Overview of Nonparametric Methods in Economics
نویسندگان
چکیده
منابع مشابه
Methods of Economics: A Survey of Matters and Methods
In spite of sonic pessimistic attitudes towards methodology of economics, it has succeeded as a central theme in numerous books, refereed journals, international conferences and symposiums whose volume is increasing at an unprecedented rate. The proliferation of methodological literature also is accompanied by a proliferation of issues that concern: the goals of economics, realism of economics,...
متن کاملRejoinder: A Selective Overview of Nonparametric Methods in Financial Econometrics
I am very grateful to the Executive Editor, Edward George, for organizing this stimulating discussion. I would like to take this opportunity to thank Professors Peter Phillips, Jun Yu, Michael Sørensen, Per Mykland and Lan Zhang for their insightful and stimulating comments, touching both practical, methodological and theoretical aspects of financial econometrics and their applications in asset...
متن کاملA selective overview of nonparametric methods in financial econometrics
This paper gives a brief overview on the nonparametric techniques that are useful for financial econometric problems. The problems include estimation and inferences of instantaneous returns and volatility functions of time-homogeneous and time-dependent diffusion processes, and estimation of transition densities and state price densities. We first briefly describe the problems and then outline ...
متن کاملComment: A Selective Overview of Nonparametric Methods in Financial Econometrics
We would like to congratulate Jianqing Fan for an excellent and well-written survey of some of the literature in this area. We will here focus on some of the issues which are at the research frontiers in financial econometrics but are not covered in the survey. Most importantly, we consider the estimation of actual volatility. Related to this is the realization that financial data is actually o...
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ژورنال
عنوان ژورنال: Northeastern Journal of Agricultural and Resource Economics
سال: 1992
ISSN: 0899-367X
DOI: 10.1017/s0899367x00002610