论文检索
收录说明
- 收录范围
- 保留计量方法研究、相关统计基础，以及实质涉及计量方法的应用、教程、比较和综述。书评、刊务及明确无关内容不公开；身份或相关性证据不足的记录保留待核，补充可靠材料后可重新判断。
- 当前期刊来源见下方官网链接及期刊目录。正刊、在线优先论文和已核实接收稿合并展示；按标题、可靠摘要、目录及可获得的 JEL 分类核验相关性。历史回补以可取得的注册题录和目录为准，不等于覆盖全部纸本。
- 日期与排序
- 默认按最近发表排序：正刊使用刊期，待刊使用上线日期；缺少上线日期时，排序参考登记或首次收录时间，并在卡片注明。更多筛选可选择出版状态和日期口径；卷期依据出版社元数据，不因待刊时间较长而推定已编入正刊。仅有月份或年份时，日期区间相交也会纳入。
- 分类与引用
- 领域和方法依据题名、摘要初步分类，可人工修正；分类不代表论文质量。引用数采用 OpenAlex 单条关联记录，不合计版本。
- 更新与 AI 解读
- 正常题录、可靠摘要与引用同步继续；日、周、月简报按首次收录时间汇总。AI 解读依据可靠摘要或已核实原文片段，已有解读保留供阅读参考；缺少可靠材料的条目保持待解读，浏览页面不会触发生成。
日期精度：到日 0 篇 · 到月 8 篇 · 到年 0 篇
Flexible multivariate Hill estimators
灵活的多元 Hill 估计量
Dominicy et al. (2017) introduce a family of Hill estimators for elliptically distributed and heavy tailed random vectors. They propose to use the univariate Hill to a norm of order h of the data. The norms are homogeneous functions of order one. We show that the family of estimators can be generalized to homogeneous functions of any order and, more importantly, that ellipticity is not required. Only multivariate regular variation is needed, as it is preserved under…
Issue of the Annals of Econometrics on Indirect Estimation Methods in Finance and Economics
《计量经济学年鉴》金融与经济间接估计方法专刊导言
Introduction \nThis special issue is the outcome of the small and high-powered conference on Indirect Estimation Methods in Finance and Economics. The conference took place at Abbey Hegne in Allensbach (Lake Constance, Germany) on May 2014. It commemorated the 20th anniversary of the seminal papers on Indirect inference of Gourieroux et al. (1993), Simulated quasi-maximum likelihood of Smith Jr. (1993) and the Efficient methods of moments of Gallant and Tauchen (1996).
Disentangling systematic and idiosyncratic dynamics in panels of volatility measures
分离波动率面板中的系统性与个体动态
Realized volatilities observed across several assets show a common secular trend and some idiosyncratic pattern which we accommodate by extending the class of Multiplicative Error Models (MEMs). In our model, the common trend is estimated nonparametrically, while the idiosyncratic dynamics are assumed to follow univariate MEMs. Estimation theory based on seminonparametric methods is developed for this class of models for large cross-sections and large time dimensions. The…
One-step R-estimation in linear models with stable errors
稳定分布误差线性模型中的一步秩估计
Classical estimation techniques for linear models either are inconsistent, or perform rather poorly, under α-stable error densities; most of them are not even rate-optimal. In this paper, we propose an original one-step R-estimation method and investigate its asymptotic performances under stable densities. Contrary to traditional least squares, the proposed R-estimators remain root-n consistent (the optimal rate) under the whole family of stable distributions, irrespective…
The method of simulated quantiles
模拟分位数法
We introduce the Method of Simulated Quantiles, or MSQ, an indirect inference method based on quantile matching that is useful for situations where the density function does not have a closed form and/or moments do not exist. Functions of theoretical quantiles, which depend on the parameters of the assumed probability law, are matched with the sample counterparts, which depend on the observations. Since the theoretical quantiles may not be available analytically, the…
Estimation of stable distributions by indirect inference
通过间接推断估计稳定分布
This article deals with the estimation of the parameters of an [alpha]-stable distribution with indirect inference, using the skewed-t distribution as an auxiliary model. The latter distribution appears as a good candidate since it has the same number of parameters as the [alpha]-stable distribution, with each parameter playing a similar role. To improve the properties of the estimator in finite sample, we use constrained indirect inference. In a Monte Carlo study we show…