arXiv 5 Jun 2019 · Econometrics · publishedJournal of Econometrics (2020) · 4 citations (OpenAlex)
arXiv:1906.01768 · PDF · DOI · OpenAlex · Extracted main text
We propose the use of indirect inference estimation to conduct inference in complex locally stationary models. We develop a local indirect inference algorithm and establish the asymptotic properties of the proposed estimator. Due to the nonparametric nature of locally stationary models, the resulting indirect inference estimator exhibits nonparametric rates of convergence. We validate our methodology with simulation studies in the confines of a locally stationary moving average model and a new locally stationary multiplicative stochastic volatility model. Using this indirect inference methodology and the new locally stationary volatility model, we obtain evidence of non-linear, time-varying volatility trends for monthly returns on several Fama-French portfolios.
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The works this paper leans on most, across its whole bibliography — not restricted to papers in our corpus. Ranked by composite intensity, which combines how often a work is mentioned, how many sections mention it, and how much of that falls in the main text rather than the appendix.
| Reference | Intensity | Mentions | Sections | Main text | |
|---|---|---|---|---|---|
| 1 | Dahlhaus, R. and Subba Rao, S (2006) Statistical inference for time-varying arch processes | 0.928 | 5 | 3 | 80% |
| 2 | Gourieroux, C., Monfort, A., and Renault, E (1993) Indirect inference | 0.928 | 4 | 3 | 100% |
| 3 | Koo, B. and Linton, O (2015) Let's get lade: Robust estimation of semiparametric multiplicative volatility models self | 0.874 | 6 | 2 | 100% |
| 4 | Engle, R. and Rangel, J (2008) The spline-garch model for low-frequency volatility and its global macroeconomic causes | 0.811 | 4 | 2 | 100% |
| 5 | Dahlhaus, R., Richter, S., Wu, W. B., et al (2019) Towards a general theory for nonlinear locally stationary processes | 0.811 | 4 | 2 | 100% |
| 6 | Kristensen, D. and Lee, Y. J (2019) Local polynomial estimation of time-varying parameters in nonlinear models | 0.811 | 4 | 2 | 100% |
| 7 | Koo, B. and Linton, O (2012) Estimation of semiparametric locally stationary diffusion models self | 0.737 | 3 | 3 | 67% |
| 8 | Dahlhaus, R. and Polonik, W (2009) Empirical spectral processes for locally stationary time series | 0.737 | 3 | 2 | 100% |
| 9 | Paparoditis, E. and Politis, D. N (2002) Local block bootstrap | 0.644 | 2 | 2 | 100% |
| 10 | Vogt, M (2012) Nonparametric regression for locally stationary time series | 0.644 | 2 | 2 | 100% |
Showing the top 10 of 39 scored citations.