Spectral and Cubature Methods in Finance and Econometrics An interdisciplinary international research workshop University of Leicester, UK, June 1820, 2009 Supported by AMAMEF, EPSRC, LMS, Oxford-Man Institute and University of Leicester Organizers Sergei Levendorskiĭ, Dept. of Mathematics, University of Leicester Terry Lyons, Oxford-Man Institute, University of Oxford Martijn Pistorius, Dept. ...

This paper studies both the traditional and the state of art aspects of Bootstrap Resampling Procedures. The theoretical asymptotic performances of such procedures are explored by an intuitive way of Edgeworth Expansion. Several refinements of standard bootstrap methods are advanced by a brief introduction, with suggestions for further research frontiers. Further more, empirical experiments are...

This is an expanded version of Wooldridge (2003), which provided an overview of cluster-sample methods in linear models. Here I include additional details for linear models and provide, as much as possible, a parallel treatment for nonlinear models, including a summary of strategies for dealing with data sets having a small number of clusters.

In “Economics and Reality” (1997) Tony Lawson advocates a perspective on social reality labelled critical realism. Critical realism maintains that strict regularities between observable events are the exception rather than the rule in the social world. This is a negative argument for econometrics which is seen to rely on the identification of such regularities. By contrast, the notion of explan...

I am very grateful to the Executive Editor, Edward George, for organizing this stimulating discussion. I would like to take this opportunity to thank Professors Peter Phillips, Jun Yu, Michael Sørensen, Per Mykland and Lan Zhang for their insightful and stimulating comments, touching both practical, methodological and theoretical aspects of financial econometrics and their applications in asset...

This paper gives a brief overview on the nonparametric techniques that are useful for financial econometric problems. The problems include estimation and inferences of instantaneous returns and volatility functions of time-homogeneous and time-dependent diffusion processes, and estimation of transition densities and state price densities. We first briefly describe the problems and then outline ...

Recent developments in empirical likelihood (EL) methods are reviewed. First, to put the method in perspective, two interpretations of empirical likelihood are presented, one as a nonparametric maximum likelihood estimation method (NPMLE) and the other as a generalized minimum contrast estimator (GMC). The latter interpretation provides a clear connection between EL, GMM, GEL and other related ...

We present several Markov chain Monte Carlo simulation methods that have been widely used in recent years in econometrics and statistics. Among these is the Gibbs sampler, which has been of particular interest to econometricians. Although the paper summarizes some of the relevant theoretical literature, its emphasis is on the presentation and explanation of applications to important models that...