2 papers
econ.EM2023
Closed-form approximations of moments and densities of continuous-time Markov models
Dennis Kristensen, Young Jun Lee, Antonio Mele
This paper develops power series expansions of a general class of moment functions, including transition densities and option prices, of continuous-time Markov processes, including…
econ.EM2019
Local Polynomial Estimation of Time-Varying Parameters in Nonlinear Models
Dennis Kristensen, Young Jun Lee
We develop a novel asymptotic theory for local polynomial extremum estimators of time-varying parameters in a broad class of nonlinear time series models. We show the proposed esti…