Generalized method of integrated moments for high-frequency data

• Main Authors: LI, Jia, XIU, Dacheng
• 格式: text
• 語言: English
• 出版: Institutional Knowledge at Singapore Management University 2016
• 主題: high frequency data; semimartingale; spot volatility; nonlinearity bias; GMM; Econometrics
• 在線閱讀: https://ink.library.smu.edu.sg/soe_research/2526; https://ink.library.smu.edu.sg/context/soe_research/article/3525/viewcontent/Li_hmm.pdf

We propose a semiparametric two‐step inference procedure for a finite‐dimensional parameter based on moment conditions constructed from high‐frequency data. The population moment conditions take the form of temporally integrated functionals of state‐variable processes that include the latent stochas...