Xiaohong Chen

Yale University - Cowles Foundation

Box 208281

New Haven, CT 06520-8281

United States

SCHOLARLY PAPERS

40

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CITATIONS
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250

Scholarly Papers (40)

1.

Simple Tests for Models of Dependence Between Multiple Financial Time Series, with Applications to U.S. Equity Returns and Exchange Rates

London Economics Financial Markets Group Working Paper No. 483
Number of pages: 37 Posted: 06 Mar 2004
Xiaohong Chen, Yanqin Fan and Andrew J. Patton
Yale University - Cowles Foundation, Vanderbilt University - College of Arts and Science - Department of Economics and Duke University - Department of Economics
Downloads 817 (20,244)
Citation 15

Abstract:

Copulas, correlation, nonlinear comovements, goodness-of-fit tests, GARCH

Land of Addicts? An Empirical Investigation of Habit-Based Asset Pricing Models

AFA 2004 San Diego Meetings
Number of pages: 70 Posted: 20 Nov 2003
Xiaohong Chen and Sydney C. Ludvigson
Yale University - Cowles Foundation and New York University - Department of Economics
Downloads 222 (108,096)
Citation 43

Abstract:

Land of Addicts? An Empirical Investigation of Habit-Based Asset Pricing Models

NYU Working Paper No. S-MF-04-09
Number of pages: 59 Posted: 12 Nov 2008
Xiaohong Chen and Sydney C. Ludvigson
Yale University - Cowles Foundation and New York University - Department of Economics
Downloads 54 (306,339)
Citation 43

Abstract:

3.

Semiparametric Efficiency in GMM Models of Nonclassical Measurement Errors, Missing Data and Treatment Effects

Cowles Foundation Discussion Paper No. 1644, Yale Economics Department Working Paper No. 42
Number of pages: 51 Posted: 04 Mar 2008
Xiaohong Chen, Han Hong and Alessandro Tarozzi
Yale University - Cowles Foundation, Independent and delete
Downloads 206 (100,284)
Citation 8

Abstract:

Auxiliary data, Measurement error, Missing data, Treatment effect, Semiparametric efficiency bound, GMM, Sieve estimation

An Estimation of Economic Models with Recursive Preferences

Number of pages: 56 Posted: 14 Mar 2008
Xiaohong Chen, Jack Favilukis and Sydney C. Ludvigson
Yale University - Cowles Foundation, University of British Columbia (UBC) - Division of Finance and New York University - Department of Economics
Downloads 111 (197,875)
Citation 13

Abstract:

An Estimation of Economic Models with Recursive Preferences

Cowles Foundation Discussion Paper No. 1883
Number of pages: 59 Posted: 15 Dec 2012
Xiaohong Chen, Jack Favilukis and Sydney C. Ludvigson
Yale University - Cowles Foundation, University of British Columbia (UBC) - Division of Finance and New York University - Department of Economics
Downloads 40 (349,582)
Citation 13

Abstract:

An Estimation of Economic Models with Recursive Preferences

Number of pages: 61 Posted: 10 Jun 2011
Xiaohong Chen, Jack Favilukis and Sydney C. Ludvigson
Yale University - Cowles Foundation, University of British Columbia (UBC) - Division of Finance and New York University - Department of Economics
Downloads 33 (375,783)
Citation 13

Abstract:

non-expected utility, recursive utility

An Estimation of Economic Models with Recursive Preferences

NBER Working Paper No. w17130
Number of pages: 61 Posted: 20 Jun 2011
Xiaohong Chen, Jack Favilukis and Sydney C. Ludvigson
Yale University - Cowles Foundation, University of British Columbia (UBC) - Division of Finance and New York University - Department of Economics
Downloads 14 (474,468)
Citation 13

Abstract:

5.

Efficient Estimation of Copula-Based Semiparametric Markov Models

Cowles Foundation Discussion Paper No. 1691
Number of pages: 56 Posted: 26 Feb 2009 Last Revised: 16 Mar 2009
Xiaohong Chen, Wei Biao Wu and Yanping Yi
Yale University - Cowles Foundation, University of Chicago and affiliation not provided to SSRN
Downloads 152 (135,972)
Citation 8

Abstract:

Copula, Tail dependence, Nonlinear Markov models, Geometric ergodicity, Sieve MLE, Semiparametric efficiency, Sieve likelihood ratio statistics, Value-at-Risk

6.

Penalized Sieve Estimation and Inference of Semi-Nonparametric Dynamic Models: A Selective Review

Cowles Foundation Discussion Paper No. 1804
Number of pages: 57 Posted: 24 May 2011
Xiaohong Chen
Yale University - Cowles Foundation
Downloads 149 (122,483)

Abstract:

Nonlinear time series, Temporal dependence, Tail dependence, Penalized sieve M estimation, Penalized sieve minimum distance, Semiparametric two-step, Nonlinear ill-posed inverse, Mixtures, Conditional moment restrictions, Nonparametric endogeneity, Dynamic asset pricing, Varying coefficient VAR, GAR

Efficient Estimation of Semiparametric Conditional Moment Models with Possibly Nonsmooth Residuals

Yale Economics Department Working Paper No. 38, Cowles Foundation Discussion Paper No. 1640
Number of pages: 48 Posted: 20 Feb 2008
Xiaohong Chen and Demian Pouzo
Yale University - Cowles Foundation and University of California, Berkeley - Department of Economics
Downloads 119 (187,886)
Citation 14

Abstract:

penalized sieve minimum distance, Nonsmooth generalized residuals, Nonlinear nonparametric endogeneity, Weighted bootstrap, Semiparametric efficiency, Confidence region, Partially linear quantile IV regression, Shape-invariant quantile Engel curves

Efficient Estimation of Semiparametric Conditional Moment Models with Possibly Nonsmooth Residuals

Cowles Foundation Discussion Paper No. 1640R
Number of pages: 34 Posted: 31 Oct 2008 Last Revised: 16 Jul 2009
Xiaohong Chen and Demian Pouzo
Yale University - Cowles Foundation and University of California, Berkeley - Department of Economics
Downloads 29 (392,862)
Citation 14

Abstract:

Penalized sieve minimum distance, Nonsmooth generalized residuals, Nonlinear nonparametric endogeneity, Weighted bootstrap, Semiparametric efficiency, Confidence region, Partially linear quantile IV regression, Shape-invariant quantile IV Engel curves

8.
Downloads 139 (165,749)
Citation 2

Copula-Based Nonlinear Quantile Autoregression

Cowles Foundation Discussion Paper No. 1679
Number of pages: 31 Posted: 15 Oct 2008 Last Revised: 26 Dec 2008
Xiaohong Chen, Roger Koenker and Zhijie Xiao
Yale University - Cowles Foundation, University of Illinois at Urbana-Champaign - Department of Economics and University of Illinois at Urbana-Champaign - Department of Economics
Downloads 138 (167,120)
Citation 2

Abstract:

Quantile autoregression, Copula, Ergodic nonlinear Markov models

Copula-Based Nonlinear Quantile Autoregression

Econometrics Journal, Vol. 12, Issue s1, pp. S50-S67, January 2009
Number of pages: 18 Posted: 04 Jul 2009
Xiaohong Chen, Roger Koenker and Zhijie Xiao
Yale University - Cowles Foundation, University of Illinois at Urbana-Champaign - Department of Economics and University of Illinois at Urbana-Champaign - Department of Economics
Downloads 1 (549,910)
Citation 2

Abstract:

9.

Nonlinearity and Temporal Dependence

Cowles Foundation Discussion Paper No. 1652, Yale Economics Department Working Paper No. 48
Number of pages: 32 Posted: 21 May 2008
Xiaohong Chen, Lars Peter Hansen and Marine Carrasco
Yale University - Cowles Foundation, University of Chicago - Department of Economics and University of Montreal - Departement de Ciences Economiques
Downloads 135 (163,894)
Citation 13

Abstract:

Mixing, Diffusion, Strong dependence, Long memory, Poisson sampling

10.

Central Limit and Functional Central Limit Theorems for Hilbert-Valued Dependent Heterogeneous Arrays with Applications

UCSD Economics Discussion Paper 92-35R
Number of pages: 35 Posted: 06 Jan 1998
Xiaohong Chen and Halbert L. White, Jr.
Yale University - Cowles Foundation and University of California, San Diego (UCSD) - Department of Economics
Downloads 123 (171,638)
Citation 3

Abstract:

Local Identification of Nonparametric and Semiparametric Models

Cowles Foundation Discussion Paper No. 1795
Number of pages: 31 Posted: 25 Apr 2011
Yale University - Cowles Foundation, Massachusetts Institute of Technology (MIT) - Department of Economics, University College London and Massachusetts Institute of Technology (MIT) - Department of Economics
Downloads 66 (276,304)
Citation 3

Abstract:

Identification, Local identification, Nonparametric models, Asset pricing

Local Identification of Nonparametric and Semiparametric Models

Cowles Foundation Discussion Paper No. 1795R
Number of pages: 46 Posted: 15 Nov 2012
Yale University - Cowles Foundation, Massachusetts Institute of Technology (MIT) - Department of Economics, Seoul National University and Massachusetts Institute of Technology (MIT) - Department of Economics
Downloads 51 (314,890)
Citation 3

Abstract:

Identification, Local identification, Nonparametric models, Asset pricing

Estimation of Nonparametric Conditional Moment Models with Possibly Nonsmooth Generalized Residuals

Cowles Foundation Discussion Paper No. 1650RR
Number of pages: 61 Posted: 01 Feb 2011 Last Revised: 08 Sep 2011
Xiaohong Chen and Demian Pouzo
Yale University - Cowles Foundation and University of California, Berkeley - Department of Economics
Downloads 87 (234,249)
Citation 11

Abstract:

Nonlinear Ill-Posed Inverse, Penalized Sieve Minimum Distance, Modulus Of Continuity, Convergence Rate, Nonparametric Additive Quantile IV, Quantile IV Engel Curves

Estimation of Nonparametric Conditional Moment Models with Possibly Nonsmooth Generalized Residuals

Cowles Foundation Discussion Paper No. 1650R, Yale Economics Department Working Paper No. 47R
Number of pages: 51 Posted: 17 Jul 2009
Xiaohong Chen and Demian Pouzo
Yale University - Cowles Foundation and University of California, Berkeley - Department of Economics
Downloads 21 (434,620)
Citation 11

Abstract:

Nonlinear ill-posed inverse, Penalized sieve minimum distance, Modulus of continuity, Convergence rate, Nonparametric additive quantile IV, Quantile IV Engel curves

13.

Estimation of Nonparametric Conditional Moment Models with Possibly Nonsmooth Moments

Cowles Foundation Discussion Paper No. 1650, Yale Economics Department Working Paper No. 47
Number of pages: 60 Posted: 30 Apr 2008 Last Revised: 17 Jul 2009
Xiaohong Chen and Demian Pouzo
Yale University - Cowles Foundation and University of California, Berkeley - Department of Economics
Downloads 105 (198,281)
Citation 15

Abstract:

Nonsmooth residuals, Nonlinear ill-posed inverse, Penalized sieve minimum distance, Modulus of continuity, Average derivative of a nonparametric nonlinear IV regression, Non-parametric additive quantile IV regression

Methods for Nonparametric and Semiparametric Regressions with Endogeneity: A Gentle Guide

Cowles Foundation Discussion Paper No. 2032
Number of pages: 72 Posted: 30 Mar 2016
Xiaohong Chen and Yin Jia Jeff Qiu
Yale University - Cowles Foundation and Yale University, Department of Economics, Students
Downloads 89 (230,844)

Abstract:

Conditional moment restrictions containing unknown functions, (Quantile) Instrumental variables, Linear and nonlinear functionals, Sieve minimum distance, Sieve GMM, Sieve Wald, QLR, Bootstrap, Semiparametric two-step GMM, Numerical equivalence

Methods for Nonparametric and Semiparametric Regressions with Endogeneity: A Gentle Guide

Annual Review of Economics, Vol. 8, pp. 259-290, 2016
Posted: 18 Nov 2016
Xiaohong Chen and Yin Jia Jeff Qiu
Yale University - Cowles Foundation and Yale University, Department of Economics, Students

Abstract:

15.

Principal Components and Long Run Implications of Multivariate Diffusions

Cowles Foundation Discussion Paper No. 1694
Number of pages: 52 Posted: 23 Apr 2009
Yale University - Cowles Foundation, University of Chicago - Department of Economics and Columbia University
Downloads 86 (215,061)
Citation 3

Abstract:

Nonlinear principal components, Discrete spectrum, Eigenvalue decay rates, Multivariate diffusion, Quadratic form, Conditional expectations operator

16.

Likelihood Inference in Some Finite Mixture Models

Cowles Foundation Discussion Paper No. 1895
Number of pages: 38 Posted: 14 May 2013
Xiaohong Chen, Maria Ponomareva and Elie T. Tamer
Yale University - Cowles Foundation, Northern Illinois University - Department of Economics and Harvard University
Downloads 66 (250,388)

Abstract:

Finite mixtures, Parametric bootstrap, Profiled likelihood ratio statistic, Partial identification, Parameter on the boundary

17.

The Estimation of Conditional Densities

LSE STICERD Research Paper No. EM415
Number of pages: 17 Posted: 21 Jul 2008
Xiaohong Chen and Oliver B. Linton
Yale University - Cowles Foundation and University of Cambridge
Downloads 65 (248,500)
Citation 6

Abstract:

18.

On Rate Optimality for Ill-Posed Inverse Problems in Econometrics

Cowles Foundation Discussion Paper No. 1626
Number of pages: 28 Posted: 11 Sep 2007
Xiaohong Chen and Markus Reiss
Yale University - Cowles Foundation and University of Heidelberg - Department of Applied Mathematics
Downloads 62 (273,072)
Citation 5

Abstract:

Nonparametric instrumental regression, Nonparametric indirect regression, Statistical ill-posed inverse problems, Minimax risk lower bound, Optimal rate

19.

Asymptotic Properties of Some Projection-based Robbins-Monro Procedures in a Hilbert Space

U of California, Economics Working Paper No. 2002-07
Number of pages: 77 Posted: 05 Jun 2002
Xiaohong Chen and Halbert L. White, Jr.
Yale University - Cowles Foundation and University of California, San Diego (UCSD) - Department of Economics
Downloads 61 (268,687)
Citation 2

Abstract:

Recursive Estimation, Non-Parametric Estimation, Hilbert Space, Generalized Method of Moments

20.

Identification and Inference of Nonlinear Models Using Two Samples with Aribrary Measurement Errors

Cowles Foundation Discussion Paper No. 1590
Number of pages: 59 Posted: 02 Nov 2006
Xiaohong Chen and Yingyao Hu
Yale University - Cowles Foundation and University of Texas at Austin
Downloads 59 (275,345)
Citation 1

Abstract:

Data combination, Nonlinear errors-in-variables model, Nonclassical measurement error, Nonparametric identification, Misspecified parametric latent model, Sieve likelihood estimation and inference

21.

Estimation and Model Selection of Semiparametric Multivariate Survival Functions under General Censorship

Cowles Foundation Discussion Paper No. 1683
Number of pages: 39 Posted: 18 Nov 2008
Xiaohong Chen, Yanqin Fan, Demian Pouzo and Zhiliang Ying
Yale University - Cowles Foundation, University of Washington - Department of Economics, University of California, Berkeley - Department of Economics and affiliation not provided to SSRN
Downloads 54 (279,899)

Abstract:

Multivariate survival models, Misspecified copulas, Penalized pseudo-likelihood ratio, Fixed or random censoring, Kaplan-Meier estimator

22.

Sensitivity Analysis in Semiparametric Likelihood Models

Cowles Foundation Discussion Paper No. 1836
Number of pages: 59 Posted: 24 Nov 2011
Yale University - Cowles Foundation, Harvard University and Northwestern University - Department of Economics
Downloads 51 (250,388)

Abstract:

Semiparametric models, Partial identification, Irregular functionals, Sieve likelihood ratio, Weighted bootstrap

23.

A Practical Asymptotic Variance Estimator for Two-Step Semiparametric Estimators

Cowles Foundation Discussion Paper No. 1803
Number of pages: 51 Posted: 24 May 2011
Daniel A. Ackerberg, Xiaohong Chen and Jinyong Hahn
University of California, Los Angeles (UCLA) - Department of Economics, Yale University - Cowles Foundation and affiliation not provided to SSRN
Downloads 50 (304,533)
Citation 6

Abstract:

Two-step semiparametrics

24.

Asymptotic Efficiency of Semiparametric Two-Step GMM

Cowles Foundation Discussion Paper No. 1880
Number of pages: 24 Posted: 09 Oct 2012
Xiaohong Chen, Jinyong Hahn and Zhipeng Liao
Yale University - Cowles Foundation, affiliation not provided to SSRN and University of California, Los Angeles (UCLA)
Downloads 49 (279,899)

Abstract:

Overlapping Information Sets, Semiparametric Efficiency, Two-Step GMM

25.

An Alternative Way of Computing Efficient Instrumental Variable Estimators

LSE STICERD Research Paper No. EM536
Number of pages: 35 Posted: 08 Feb 2010
Yale University - Cowles Foundation, Emory University - Department of Economics and University of Cambridge
Downloads 49 (304,533)
Citation 3

Abstract:

26.

Estimation of Semiparametric Models When the Criterion Function is Not Smooth

LSE STICERD Research Paper No. EM450
Number of pages: 23 Posted: 21 Jul 2008
Yale University - Cowles Foundation, University of Cambridge and Catholic University of Louvain (UCL)
Downloads 47 (299,228)
Citation 33

Abstract:

27.

Sieve Inference on Semi-Nonparametric Time Series Models

Cowles Foundation Discussion Paper No. 1849
Number of pages: 55 Posted: 21 Feb 2012
Xiaohong Chen, Zhipeng Liao and Yixiao Sun
Yale University - Cowles Foundation, University of California, Los Angeles (UCLA) and University of California, San Diego (UCSD) - Department of Economics
Downloads 45 (307,184)

Abstract:

Weak dependence, Sieve M estimation, Sieve Riesz representor, Irregular functional, Misspecification, Pre-asymptotic variance, Orthogonal series long run variance estimation, F distribution

Sieve Wald and QLR Inferences on Semi/Nonparametric Conditional Moment Models

Cowles Foundation Discussion Paper No. 1897R
Number of pages: 63 Posted: 05 Apr 2014
Xiaohong Chen and Demian Pouzo
Yale University - Cowles Foundation and University of California, Berkeley - Department of Economics
Downloads 26 (407,500)

Abstract:

Nonlinear nonparametric instrumental variables, Penalized sieve minimum distance, Irregular functional, Sieve variance estimators, Sieve Wald, Sieve quasi likelihood ratio, Generalized residual bootstrap, Local power, Wilks phenomenon

Sieve Wald and QLR Inferences on Semi/Nonparametric Conditional Moment Models

Cowles Foundation Discussion Paper No. 1897RR
Number of pages: 151 Posted: 05 Nov 2014 Last Revised: 20 Mar 2015
Xiaohong Chen and Demian Pouzo
Yale University - Cowles Foundation and University of California, Berkeley - Department of Economics
Downloads 15 (468,676)

Abstract:

Nonlinear nonparametric instrumental variables; Penalized sieve minimum distance; Irregular functional; Sieve variance estimators; Sieve Wald; Sieve quasi likelihood ratio; Generalized residual bootstrap; Local power; Wilks phenomenon

29.

Sieve Quasi Likelihood Ratio Inference on Semi/Nonparametric Conditional Moment Models

Cowles Foundation Discussion Paper No. 1897
Number of pages: 44 Posted: 30 May 2013
Xiaohong Chen and Demian Pouzo
Yale University - Cowles Foundation and University of California, Berkeley - Department of Economics
Downloads 30 (345,927)

Abstract:

Nonlinear nonparametric instrumental variables, Penalized sieve minimum distance, Irregular functional, Sieve Riesz representer, Sieve quasi likelihood ratio, Asymptotic normality, Bootstrap, Sieve variance estimator

30.

Land of Addicts? An Empirical Investigation of Habit-Based Asset Pricing Behavior

NBER Working Paper No. w10503
Number of pages: 59 Posted: 31 May 2004
Xiaohong Chen and Sydney C. Ludvigson
Yale University - Cowles Foundation and New York University - Department of Economics
Downloads 24 (400,823)
Citation 42

Abstract:

31.

Overidentification in Regular Models

Cowles Foundation Discussion Paper No. 1999
Number of pages: 58 Posted: 23 Apr 2015
Xiaohong Chen and Andres Santos
Yale University - Cowles Foundation and University of California, San Diego (UCSD) - Department of Economics
Downloads 19 (330,210)

Abstract:

Overidentification, Semiparametric efficiency, Specification testing, Nonparametric conditional moment restrictions

32.

Optimal Sup-Norm Rates, Adaptivity and Inference in Nonparametric Instrumental Variables Estimation

Cowles Foundation Discussion Paper No. 1923R
Number of pages: 40 Posted: 03 Apr 2015
Xiaohong Chen and Timothy Christensen
Yale University - Cowles Foundation and New York University (NYU) - Department of Economics
Downloads 17 (374,586)

Abstract:

Ill-posed inverse problems, Series 2SLS, Optimal sup-norm convergence rates, Adaptive estimation, Random matrices, Bootstrap uniform confidence bands, Nonlinear welfare functionals, Nonparametric demand analysis with endogeneity

33.

Semiparametric Efficiency Bound for Models of Sequential Moment Restrictions Containing Unknown Functions

Cowles Foundation Discussion Paper No. 1731
Number of pages: 41 Posted: 10 Oct 2009
Chunrong Ai and Xiaohong Chen
University of Florida - Warrington College of Business Administration - Department of Economics and Yale University - Cowles Foundation
Downloads 17 (410,515)
Citation 1

Abstract:

sequential moment models, semiparametric efficiency bounds, optimally weighted orthogonalized sieve minimum distance, nonparametric IV regression, weighted average derivatives, partially linear quantile IV

34.

Optimal Uniform Convergence Rates and Asymptotic Normality for Series Estimators Under Weak Dependence and Weak Conditions

Cowles Foundation Discussion Paper No. 1976
Number of pages: 55 Posted: 24 Dec 2014 Last Revised: 13 Mar 2015
Xiaohong Chen and Timothy Christensen
Yale University - Cowles Foundation and New York University (NYU) - Department of Economics
Downloads 15 (410,515)

Abstract:

Nonparametric series regression, Optimal uniform convergence rates, Weak dependence, Random matrices, Splines, Wavelets, (Nonlinear) Irregular Functionals, Sieve t statistics

35.

Optimal Uniform Convergence Rates for Sieve Nonparametric Instrumental Variables Regression

Cowles Foundation Discussion Paper No. 1923
Number of pages: 37 Posted: 04 Nov 2013
Xiaohong Chen and Timothy Christensen
Yale University - Cowles Foundation and New York University (NYU) - Department of Economics
Downloads 9 (451,113)

Abstract:

Nonparametric instrumental variables; Statistical ill-posed inverse problems; Optimal uniform convergence rates; Weak dependence; Random matrices; Splines; Wavelets

36.

Sieve Semiparametric Two-Step GMM Under Weak Dependence

Cowles Foundation Discussion Paper No. 2012
Number of pages: 64 Posted: 14 Jul 2015
Xiaohong Chen and Zhipeng Liao
Yale University - Cowles Foundation and University of California, Los Angeles (UCLA)
Downloads 6 (430,900)

Abstract:

Sieve two-step GMM, Weakly dependent data, Auto-correlation robust inference, Semiparametric over-identification test, Numerical equivalence, Random perturbation derivative estimator

37.

Optimal Sup-Norm Rates and Uniform Inference on Nonlinear Functionals of Nonparametric IV Regression

Cowles Foundation Discussion Paper No. 1923R2
Number of pages: 94 Posted: 15 Feb 2017
Xiaohong Chen and Timothy Christensen
Yale University - Cowles Foundation and New York University (NYU) - Department of Economics
Downloads 0 (491,160)

Abstract:

Series 2SLS, Optimal Sup-Norm Convergence Rates, Uniform Gaussian Process Strong Approximation, Score Bootstrap Uniform Confidence Bands, Nonlinear Welfare Functionals, Nonparametric Demand with Endogeneity

38.

MCMC Con dence Sets for Identi ed Sets

Cowles Foundation Discussion Paper No. 2037R
Number of pages: 107 Posted: 08 Jul 2016
Yale University - Cowles Foundation, New York University (NYU) - Department of Economics, New York University (NYU) and Harvard University
Downloads 0 (400,823)

Abstract:

39.

MCMC Confidence Sets for Identified Sets

Cowles Foundation Discussion Paper No. 2037
Number of pages: 69 Posted: 05 May 2016
Xiaohong Chen, Timothy Christensen and Elie T. Tamer
Yale University - Cowles Foundation, New York University (NYU) - Department of Economics and Harvard University
Downloads 0 (327,273)

Abstract:

40.

Simple Nonparametric Estimators for the Bid-Ask Spread in the Roll Model

Cowles Foundation Discussion Paper No. 2033
Number of pages: 59 Posted: 18 Mar 2016 Last Revised: 18 Apr 2016
Yale University - Cowles Foundation, University of Cambridge, Yale University, Department of Economics, Students and Shanghai University of Finance and Economics - School of Economics
Downloads 0 (241,054)

Abstract:

Characteristic function, Deconvolution, Flash Crash, Liquidity