M
Marine Carrasco
Researcher at Université de Montréal
Publications - 61
Citations - 3011
Marine Carrasco is an academic researcher from Université de Montréal. The author has contributed to research in topics: Estimator & Generalized method of moments. The author has an hindex of 23, co-authored 58 publications receiving 2816 citations. Previous affiliations of Marine Carrasco include INSEE & University of Rochester.
Papers
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Journal ArticleDOI
Mixing and moment properties of various garch and stochastic volatility models
Marine Carrasco,Xiaohong Chen +1 more
TL;DR: In this article, the authors provide sufficient conditions for β-mixing and finite higher order moments for various linear and nonlinear GARCH(1,1), linear and power GARCH (p,q), stochastic volatility, and autoregressive conditional duration models.
Journal ArticleDOI
Generalization of gmm to a continuum of moment conditions
TL;DR: In this article, the generalized method of moments is used to estimate the norm of the moment conditions in the reproducing kernel Hilbert space associated with the covariance in a continuous time regression model.
Book ChapterDOI
Chapter 77 Linear Inverse Problems in Structural Econometrics Estimation Based on Spectral Decomposition and Regularization
TL;DR: Inverse problems can be described as functional equations where the value of the function is known or easily estimable but the argument is unknown as discussed by the authors, and a regularized (or smoothed) solution needs to be implemented.
Linear Inverse Problems in Structural Econometrics Estimation based on spectral decomposition
TL;DR: Inverse problems can be described as functional equations where the value of the function is known or easily estimable but the argument is unknown as discussed by the authors, and a regularized (or smoothed) solution needs to be implemented.
Journal ArticleDOI
Efficient estimation of general dynamic models with a continuum of moment conditions
TL;DR: In this article, the singularity problem of the covariance matrix is solved in the framework of GMM with a continuum of moment conditions, and a new HAC-type estimator is proposed for non-Markov models.