Coventry CV4 7AL
University of Warwick - Department of Economics
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Aggregate stock market volatility, volatility risk-premiums, volatility of volatility, business cycle, no-arbitrage restrictions, simulation-based inference
conditional independence, jump-diffusion, noncausality, quadratic variation, realized variance, stochastic
data-driven bandwidth selection, non-stationary autoregression, nonparametric cointegration, recurrence
Bootstrap, GMM, Moment Inequalities, Optimal Monetary Policy
diffusion index, factor loading stability, forecast failure, forecast stability, regression coefficients stability
bias, efficiency, generically comprehensive tests, rationality
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Block bootstrap, diffusion processes, jumps, nonparametric simulated quasi maximum likelihood, parameter estimation error, recursive estimation, stochastic volatility
block bootstrap, recursive estimation scheme, reality check, parameter estimation error
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