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08/17/2023
Closed-form approximations of moments and densities of continuous-time Markov models
This paper develops power series expansions of a general class of moment...
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05/07/2020
Diffusion Copulas: Identification and Estimation
We propose a new semiparametric approach for modelling nonlinear univari...
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04/16/2020
Identification of a class of index models: A topological approach
We establish nonparametric identification in a class of so-called index ...
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04/10/2019
Solving Dynamic Discrete Choice Models Using Smoothing and Sieve Methods
We propose to combine smoothing, simulations and sieve approximations to...
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04/10/2019