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Showing 1 to 2 of 2 for “"Sieve Estimation"”.
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Essays on the Econometrics of Option Prices
… The distribution theory is used to quantify the estimation error induced by computing integrated option portfolios from a sample of noisy option data. Moreover, by relying on the method of sieves, the framework is nonparametric, adheres to economic shape restrictions for arbitrary maturities, …
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NONPARAMETRIC IDENTIFICATION AND ESTIMATION OF STOCHASTIC FRONTIER MODELS
… studies nonparametric identication and estimation of stochastic frontiermodels. It is composed of three chapters. The rst chapter investigates the identication and estimation of a cross sectional stochastic frontier model with Laplacian errors and unknown variance, which is built on a …