An efficient nonparametric estimator for models with nonlinear dependence

Journal of Econometrics

Volumn 137, Issue 1, 2007, Pages 189-229

  Gagliardini, Patrick ^a   Gouriéroux, Christian ^b,c  

^a UNIVERSITY OF LUGANO   (Switzerland)

^b UNIVERSITY OF TORONTO   (Canada)

^c CREST   (France)

Author keywords

Copula; Efficiency; Nonlinear dependence; Nonparametric estimation

Indexed keywords

EFFICIENCY; FINANCE; MATHEMATICAL MODELS; OPTIMIZATION; PARAMETER ESTIMATION;

CHI-SQUARE DISTANCE; COPULA; NONLINEAR DEPENDENCE; NONPARAMETRIC ESTIMATOR;

NONLINEAR SYSTEMS;

EID: 33846544404     PISSN: 03044076     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jeconom.2006.03.011     Document Type: Article

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