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To how many simultaneous hypothesis tests can normal student's t or bootstrap calibrations be applied
Fan, Jianqing; Hall, Peter; Yao, Qiwei - London School of Economics (LSE) - 2007
In the analysis of microarray data, and in some other contemporary statistical problems, it is not uncommon to apply hypothesis tests in a highly simultaneous way. The number, N say, of tests used can be much larger than the sample sizes, n, to which the tests are applied, yet we wish to...
Persistent link: https://www.econbiz.de/10010884486
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LARCH, leverage, and long memory
Giraitis, Liudas; Leipus, Remigijus; Robinson, Peter M.; … - London School of Economics (LSE) - 2004
Persistent link: https://www.econbiz.de/10010884511
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A Haar-Fisz technique for locally stationary volatility estimation
Fryzlewicz, Piotr; Sapatinas, Theofanis; Subba Rao, Suhasini - London School of Economics (LSE) - 2006
meaningful estimation theory. We demonstrate that the model explains well the common characteristics of log-returns. We propose a … new wavelet thresholding algorithm for volatility estimation in this model, in which Haar wavelets are combined with the … on the choice of estimation parameters. We show that our approach both gives a very good fit to selected currency …
Persistent link: https://www.econbiz.de/10010884578
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Measuring subjective well-being for public policy
Dolan, Paul; Layard, Richard; Metcalfe, Robert - London School of Economics (LSE) - 2011
Persistent link: https://www.econbiz.de/10010884617
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Brownian excursions outside a corridor and two-sided Parisian options
Dassios, Angelos; Wu, Shanle - London School of Economics (LSE) - 2011
In this paper, we study the excursion time of a Brownian motion with drift outside a corridor by using a four states semi-Markov model. In mathematical finance, these results have an important application in the valuation of double barrier Parisian options. In this paper, we obtain an explicit...
Persistent link: https://www.econbiz.de/10010884699
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On initial-condition sensitivity and prediction in nonlinear stochastic systems
Yao, Qiwei; Tong, Howell - London School of Economics (LSE) - 1995
Persistent link: https://www.econbiz.de/10010884703
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Optimal hitting time and perpetual option in a non-Lévy model: application to real options
Barrieu, Pauline; Bellamy, N. - London School of Economics (LSE) - 2007
We study the perpetual American option characteristics in the case where the underlying dynamics involve a Brownian motion and a point process with a stochastic intensity. No assumption on the distribution of the jump size is made and we work with an arbitrary positive or negative jump. After...
Persistent link: https://www.econbiz.de/10010884728
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On a semiparametric survival model with flexible covariate effect
Nielsen, Jens P.; Linton, Oliver; Bickel, Peter J. - London School of Economics (LSE) - 1998
the framework of counting process theory. A profile likelihood principle is introduced for estimation of the parameters … estimation procedure for the nonparametric part is also given and its asymptotic properties are derived. We provide an …
Persistent link: https://www.econbiz.de/10010928597
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On prediction and chaos in stochastic systems
Tong, Howell; Yao, Qiwei - London School of Economics (LSE) - 1994
Persistent link: https://www.econbiz.de/10010928639
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Approximating conditional distribution functions using dimension reduction
Hall, Peter; Yao, Qiwei - London School of Economics (LSE) - 2005
Persistent link: https://www.econbiz.de/10010928648