Stabsseminar med Mele

Foredragsholder på fredagens stabsseminar ved Institutt for foretaksøkonomi er Dr. Antonio Mele fra London School of Economics.

04.06.2003 - Anette W. Petersen

Tema: Simulated Nonparametric Estimation of Continuous Time Models of Asset Prices and Returns

Tid: Fredag 6.juni, kl. 12.15-13.30

Sted: Karl Borch's Aud.

Abstract:
This paper introduces a new estimator of the parameters of dynamic models in which the state is a multidimensional, continuous-time, partially observed Markov process. The estimator minimizes appropriate distances between nonparametric joint (and/or conditional) densities of sample data and nonparametric joint (and/or conditional) densities estimated on data simulated out of the model of interest. Sample data and model-simulated data are smoothed with the same kernel. This makes the estimator: 1) consistent independently of the amount of smoothing; and 2) asymptotically root-T normal when the smoothing parameter goes to zero at a reasonably mild rate. When the underlying state is observable, the estimator displays the same asymptotic efficiency properties of the maximum-likelihood estimator. In the partially observed case, we derive necessary and sufficient conditions for efficiency to be implemented with the help of auxiliary prediction functions that are suggested by standard asset pricing theories. The method is adaptive, fast to implement and possesses finite sample properties that are well approximated by the ones suggested by the asymptotic theory.

Paper er tilgjengelig på instituttets nettside.

Kontaktperson: Hans K. Hvide (59283).