Previous work on the preferred specification of hedonic price models usually recommended a Box-Cox model. In this paper we note that any parametric model involves implicit restrictions and they can be reduced by using a semiparametric model. We estimate a benchmark parametric model which passes seve
A semiparametric estimation of liquidity effects on option pricing
✍ Scribed by Eva Ferreira; Mónica Gago; Gonzalo Rubio
- Book ID
- 106276373
- Publisher
- Springer
- Year
- 2003
- Tongue
- English
- Weight
- 258 KB
- Volume
- 5
- Category
- Article
- ISSN
- 1435-5469
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