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Estimation …
Persistent link: https://www.econbiz.de/10009574875
In this paper we explore some crude approximation, calibration and estimation procedures for Normal Inverse Gaussian … (NIG) variates of potential use in risk management. Among others we treat in some detail the calibration of bivariate NIG … consistent with marginal NIG. -- risk management ; Normal Inverse Gaussian distribution …
Persistent link: https://www.econbiz.de/10009627276
Persistent link: https://www.econbiz.de/10001916784
In mathematical finance diffusion models are widely used and a variety of different parametric models for the drift and diffusion coefficient coexist in the literature. Since derivative prices depend on the particular parametric model of the diffusion coefficient function of the underlying, a...
Persistent link: https://www.econbiz.de/10009622677
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techniques, regression splines and kernel estimation, of which both can be used in the presence of measurement error. Within the … ; Bandwidth Selection ; Regression Splines ; Sandwich Estimation …
Persistent link: https://www.econbiz.de/10009631749
In this paper we consider the polynomial regression model in the presence of multiplicative measurement error in the predictor. Consistent parameter estimates and their associated standard errors are derived. Two general methods are considered, with the methods differing in their assumptions...
Persistent link: https://www.econbiz.de/10009631750
paper extends this approach to the simultaneous estimation of both the function and its derivatives by combining the … integration procedure with a local polynomial approach. Finally the merits of this procedure with respect to the estimation of a … ; Additive Models ; Derivative Estimation ; Production Function …
Persistent link: https://www.econbiz.de/10009657128
need for devices such as second derivative estimation and multiple bandwidths of different order. We derive a similar … estimator in the context of local (multivariate) estimation based on estimating functions. As expected, this lower order bias is …
Persistent link: https://www.econbiz.de/10009659631
exchange rate. The separate estimation of long-run money demands leads to a "structural" error correction equation which allows …
Persistent link: https://www.econbiz.de/10009574885