International Yield Curves and Currency Puzzles
In: NBER Working Paper No. w25206
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In: NBER Working Paper No. w25206
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Working paper
In: CEPR Discussion Paper No. DP13252
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In: CEPR Discussion Paper No. DP12893
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In: NBER Working Paper No. w24563
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In: Chicago Booth Research Paper No. 16-10
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In: NBER Working Paper No. w22183
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In: NBER Working Paper No. w20594
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In: NBER Working Paper No. w20115
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In: Journal of international economics, Band 140, S. 103692
ISSN: 0022-1996
In: CEPR Discussion Paper No. DP14986
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Working paper
In: NBER Working Paper No. w27500
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Working paper
In: Journal of Econometrics, Band 149, Heft 1, S. 2-11
Importance sampling is used in many areas of modern econometrics to approximate unsolvable integrals. Its reliable use requires the sampler to possess a variance, for this guarantees a square root speed of convergence and asymptotic normality of the estimator of the integral. However, this assumption is seldom checked. In this paper we use extreme value theory to empirically assess the appropriateness of this assumption. Our main application is the stochastic volatility model, where importance sampling is commonly used for maximum likelihood estimation of the parameters of the model.
In: ECB Working Paper No. 1626
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