Empirical calibration of simulation models

simulation, models

The invisible college of the economics of innovation and technological change

economics,innovation, technological change

Semiparametric Lower Bounds for Tail Index Estimation

indexation;semiparametric estimation

Semiparametrically Efficient Inference Based on Signs and Ranks for Median Restricted Models

Since the pioneering work of Koenker and Bassett (1978), econometric models involving median and quantile rather than the classical mean or conditional mean concepts have attracted much interest.Contrary to the traditional models where the noise is assumed to have mean zero, median-restricted models enjoy a rich group-invariance structure.In this paper, we exploit this invariance structure in order to obtain semiparametrically efficient inference procedures for these models.These procedures are based on residual signs and ranks, and therefore insensitive to possible misspecification of the underlying innovation density, yet semiparametrically efficient at correctly specified densities.This latter combination is a definite advantage of these procedures over classical quasi-likelihood methods.The techniques we propose can be applied, without additional technical difficulties, to both cross-sectional and time-series models.They do not require any explicit tangent space calculation nor any projections on these.models;regression analysis;econometrics

Multivariate Option Pricing Using Dynamic Copula Models

This paper examines the behavior of multivariate option prices in the presence of association between the underlying assets.Parametric families of copulas offering various alternatives to the normal dependence structure are used to model this association, which is explicitly assumed to vary over time as a function of the volatilities of the assets.These dynamic copula models are applied to better-of-two-markets and worse-of-two-markets options on the S&P500 and Nasdaq indexes.Results show that option prices implied by dynamic copula models differ substantially from prices implied by models that fix the dependence between the underlyings, particularly in times of high volatilities. Furthermore, the normal copula produces option prices that differ significantly from non-normal copula prices, irrespective of initial volatility levels.Within the class of non-normal copula families considered, option prices are robust with respect to the copula choice.option pricing;dynamic models;options

The asymptotic structure of nearly unstable non-negative integer-valued AR(1) models

This paper considers non-negative integer-valued autoregressive processes where the autoregression parameter is close to unity. We consider the asymptotics of this `near unit root' situation. The local asymptotic structure of the likelihood ratios of the model is obtained, showing that the limit experiment is Poissonian. To illustrate the statistical consequences we discuss efficient estimation of the autoregression parameter and efficient testing for a unit root.Comment: Published in at http://dx.doi.org/10.3150/08-BEJ153 the Bernoulli (http://isi.cbs.nl/bernoulli/) by the International Statistical Institute/Bernoulli Society (http://isi.cbs.nl/BS/bshome.htm