-
An empirical application of stochastic volatility models (replication data)
This paper studies the empirical performance of stochastic volatility models for twenty years of weekly exchange rate data for four major currencies. We concentrate on the... -
Semi-parametric estimation of simultaneous equations with limited dependent v...
We propose a general strategy to estimate semi-parametrically simultaneous equations with limited dependent variables. First, each reduced form (RF) is estimated with various...
