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Author: Lorenzo Camponovo
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Lorenzo Camponovo, Yukitoshi Matsushita and Taisuke Otsu
This paper develops a new test statistic for parameters defined by moment conditions that exhibits desirable relative error properties for the approximation of tail area probabilities. Our statistic, called the tilted ex...Read more...
13 November 2017
With increasing availability of high frequency financial data as a background, various volatility measures and related statistical theory are developed in the recent literature. This paper introduces the method of empiri...Read more...
21 February 2017
We propose a nonparametric likelihood inference method for the integrated volatility under high frequency financial data. The nonparametric likelihood statistic, which contains the conventional statistics such as empiric...Read more...
15 January 2015
Lorenzo Camponovo and Taisuke Otsu
This paper studies robustness of bootstrap inference methods for instrumental variable (IV)regression models. We consider test statistics for parameter hypotheses based on the IV estimatorand generalized method of trimme...Read more...
21 January 2014