Estimation …

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 …

This paper offers a new approach for estimation and forecasting of the volatility of financial time series. No …. -- stochastic volatility model ; adaptive estimation ; local homogeneity …

We propose marginal integration estimation and testing methods for the coefficients of varying coefficient multivariate … regression model. Asymptotic distribution theory is developed for the estimation method which enjoys the same rate of convergence … as univariate function estimation. For the test statistic, asymptotic normal theory is established. These theoretical …

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 …

estimation of the conditional mean, it is equally if not more important to measure the future risk of the series along with the … dealing with more than one lag. When the mean has an additive structure, however, better estimation methods are available … interpretation of each lagged value's influence on such a function. In this paper we consider the joint estimation of both the …