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Optimal Conditionally Unbiased Bounded-Influence Inference in Dynamic Location and Scale Models
Mancini, Loriano; Ronchetti, Elvezio; Trojani, Fabio - School of Economics and Political Science, Universität … - 2005
ensuring Fisher consistency in robust estimation. This strongly reduces the necessary computation time by avoiding the … simulation of multidimensional integrals, a task that has typically to be addressed in the robust estimation of nonlinear models …
Persistent link: https://www.econbiz.de/10005453970
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Splines for Financial Volatility
Audrino, Francesco; Bühlmann, Peter - School of Economics and Political Science, Universität … - 2007
on the idea of using multivariate B-splines of lagged observations and volatilities. Estimation of such a B-spline basis …
Persistent link: https://www.econbiz.de/10005797706
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Realized Copula
Fengler, Matthias; Okhrin, Ostap - School of Economics and Political Science, Universität … - 2012
We introduce the notion of realized copula. Based on assumptions of the marginal distributions of daily stock returns and a copula family, realized copula is defined as the copula structure materialized in realized covariance estimated from within-day highfrequency data. Copula parameters are...
Persistent link: https://www.econbiz.de/10010550484
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Robust Value at Risk Prediction
Mancini, Loriano; Trojani, Fabio - School of Economics and Political Science, Universität … - 2007
that only our robust procedure passes all validation tests at usualconfidence levels. Moreover, the smaller tail estimation …
Persistent link: https://www.econbiz.de/10005453980
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Nonparametric IV estimation of local average treatment effects with covariates
Froelich, Markus - School of Economics and Political Science, Universität … - 2002
In this paper nonparametric instrumental variable estimation of local average treatment effects (LATE) is extended to … incorporate confounding covariates. Estimation of local average treatment effects is appealing since their identification relies … variable models. Including covariates in the estimation of LATE is necessary when the instrumental variable itself is …
Persistent link: https://www.econbiz.de/10005453938
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A generalization of the balancing property of the propensity score
Froelich, Markus - School of Economics and Political Science, Universität … - 2002
Propensity score matching is a nonparametric technique frequently used for estimating average treatment effects. Yet its applicability is not confined to treatment evaluation. In this paper the propensity score property is generalized to the setting of selection on unobservables. It is shown...
Persistent link: https://www.econbiz.de/10005453940
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Statistical Treatment Choice: An Application to Active Labour Market Programmes
Frölich, Markus - School of Economics and Political Science, Universität … - 2006
Choosing among a number of available treatments the most suitable for a given subject is an issue of everyday concern. A physician has to choose an appropriate drug treatment or medical treatment for a given patient, based on a number of observed covariates X and prior experience. A case worker...
Persistent link: https://www.econbiz.de/10005453946
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Forecasting Implied Volatility Surfaces
Audrino, Francesco; Colagelo, Dominik - School of Economics and Political Science, Universität … - 2007
We propose a new semi-parametric model for the implied volatility surface, which incorporates machine learning algorithms. Given a starting model, a tree-boosting algorithm sequentially minimizes the residuals of observed and estimated implied volatility. To overcome the poor predicting power of...
Persistent link: https://www.econbiz.de/10005453978
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Quantile Regression in the Presence of Sample Selection
Huber, Martin; Melly, Blaise - School of Economics and Political Science, Universität … - 2011
Most sample selection models assume that the errors are independent of the regressors. Under this assumption, all quantile and mean functions are parallel, which implies that quantile estimators cannot reveal any (per definition non-existing) heterogeneity. However, quantile estimators are...
Persistent link: https://www.econbiz.de/10008874628
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Treatment evaluation in the presence of sample selection
Huber, Martin - School of Economics and Political Science, Universität … - 2009
Sample selection and attrition are inherent in a range of treatment evaluation problems such as the estimation of the …
Persistent link: https://www.econbiz.de/10004988945