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econ.EM2020
Diffusion Copulas: Identification and Estimation
Ruijun Bu, Kaddour Hadri, Dennis Kristensen
We propose a new semiparametric approach for modelling nonlinear univariate diffusions, where the observed process is a nonparametric transformation of an underlying parametric dif…
econ.EM2020
Identification of a class of index models: A topological approach
Mogens Fosgerau, Dennis Kristensen
We establish nonparametric identification in a class of so-called index models using a novel approach that relies on general topological results. Our proof strategy requires substa…