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Efficient estimation of a semiparametric characteristic-based factor model of security returns

Connor, Gregory; Hagmann, Matthias; Linton, Oliver - London School of Economics (LSE) - 2007

This paper develops a new estimation procedure for characteristic-based factor models of security returns. We treat the factor model as a weighted additive nonparametric regression model, with the factor returns serving as time-varying weights, and a set of univariate non-parametric functions...

Persistent link: https://www.econbiz.de/10010745652

Efficient estimation of a semiparametric characteristic-based factor model of security returns

Connor, Gregory; Hagmann, Matthias; Linton, Oliver - London School of Economics (LSE) - 2007

Persistent link: https://www.econbiz.de/10010745792

Large volatility matrix inference via combining low-frequency and high-frequency approaches

Tao, Minjing; Wang, Yahzen; Yao, Qiwei; Zou, Jian - London School of Economics (LSE) - 2011

It is increasingly important in financial economics to estimate volatilities of asset returns. However, most of the available methods are not directly applicable when the number of assets involved is large, due to the lack of accuracy in estimating high-dimensional matrices. Therefore it is...

Persistent link: https://www.econbiz.de/10011126465

Modelling multiple time series via common factors

Pan, Jiazhu; Yao, Qiwei - London School of Economics (LSE) - 2008

We propose a new method for estimating common factors of multiple time series. One distinctive feature of the new approach is that it is applicable to some nonstationary time series. The unobservable, nonstationary factors are identified by expanding the white noise space step by step, thereby...

Persistent link: https://www.econbiz.de/10011126505

Estimation of latent factors for high-dimensional time series

Lam, Clifford; Yao, Qiwei; Bathia, Neil - London School of Economics (LSE) - 2011

This paper deals with the dimension reduction of high-dimensional time series based on common factors. In particular we allow the dimension of time series p to be as large as, or even larger than, the sample size n. The estimation of the factor loading matrix and the factor process itself is...

Persistent link: https://www.econbiz.de/10011071437

The role of perceived costs and perceived benefits in the relationship between personality and risk-related choices

Soane, Emma; Dewberry, Chris; Narendran, Sunitha - London School of Economics (LSE) - 2010

This paper considers how perceptions of costs and benefits can influence the association between personality and risky choice behaviour. We assessed perceptions and behaviours in six domains (ethical; investment; gambling; health and safety; recreational; social) using the DOSPERT and measured...

Persistent link: https://www.econbiz.de/10010745760

Measuring the parental, service and cost impacts of children with autistic spectrum disorder: a pilot study

Järbrink, Krister; Fombonne, Eric; Knapp, Martin - London School of Economics (LSE) - 2003

collect cost information for individuals with autistic spectrum disorder. There is very little cost information on children or … adults with autism or autism-related disorder, and no study appears to have carried out a specific cost collection in this … area. Although some global cost estimates can be made, little is known about the cost implications of parental burden. By …

Persistent link: https://www.econbiz.de/10011071201

Commodity taxation and social welfare: the generalised Ramsey rule

Coady, David; Dreze, Jean - London School of Economics (LSE) - 2000

Commodity taxes have three distinct roles: (1) revenue collection, (2) interpersonal redistribution, and (3) resource allocation. The paper presents an integrated treatment of these three concerns in a second-best general equilibrium framework, which leads to the 'generalised Ramsey rule' for...

Persistent link: https://www.econbiz.de/10010884666

More efficient kernel estimation in nonparametric regression with autocorrelated errors

Carroll, Raymond J; Linton, Oliver; Mammen, Enno; Xiao, … - London School of Economics (LSE) - 2002

We propose a modification of kernel time series regression estimators that improves efficiency when the innovation …

Persistent link: https://www.econbiz.de/10010928799

WAGE PREMIUMS AND PROFIT MAXIMISATION IN EFFICIENCY WAGE MODELS

MACLEOD, W.B.; MALCOMSON, J. - London School of Economics (LSE) - 1989

Persistent link: https://www.econbiz.de/10005776285