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Semiparametric modelling of the cross-section of expected returns in the German stock market
Stehle, Richard; Bunke, Olaf; Sommerfeld, Volker - 1997
According to the Sharpe-Lintner capital asset pricing model, expected rates of return on individual stocks differ only because of their different levels of non-diversifiable risk (beta). However, Fama/French (1992) show that the two variables size and book-to-market ratio capture the...
Persistent link: https://www.econbiz.de/10009661022
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Weekday dependence of German stock market returns
Herwartz, Helmut - 1999
exchange the paper compares estimation results of parametric and nonparametric autoregressive models with respect to possible …
Persistent link: https://www.econbiz.de/10009580468
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Estimation and arbitrage opportunities for exchange rate baskets
Mercurio, Danilo; Torricelli, Costanza - 2001
estimation …
Persistent link: https://www.econbiz.de/10009613598
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On robustness of model-based bootstrap schemes in nonparametric time series analysis
Neumann, Michael H. - 1997
Theory in time series analysis is often developed in the context of finite-dimensional models for the data generating process. Whereas corresponding estimators such as those of a conditional mean function are reasonable even if the true dependence mechanism is of a more complex structure, it is...
Persistent link: https://www.econbiz.de/10009660380
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Robust estimation in nonlinear regression and limited dependent variable models
Čížek, Pavel - 2001
Classical parametric estimation methods applied to nonlinear regression and limited-dependent-variable models are very … restricted by parametric assumptions, require more data and are less efficient. A third possible estimation approach is based on … ; limited-dependent-variable models ; nonlinear regression ; robust estimation …
Persistent link: https://www.econbiz.de/10009618360
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Smoothed influence function : another view at robust nonparametric regression
Tamine, Julien - 2001
In this work, we introduce a smoothed influence function that constitute a theoretical tool for studying the outliers robustness properties of a large class of nonparametric estimators. With this tool, we first show the nonrobustness of the Nadaraya-Watson estimator of regression. Then we show...
Persistent link: https://www.econbiz.de/10009626684
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M robustified additive nonparametric regression
Tamine, Julien; Härdle, Wolfgang; Yang, Lijian - 2002
reducing the problem of estimating a multivariate regression function to the estimation of its univariate components …. Estimation of these univariate functions, however, can suffer inaccuracy if the data set is contaminated with extreme …
Persistent link: https://www.econbiz.de/10009626746
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R robustified additive nonparametric regression
Tamine, Julien; Härdle, Wolfgang; Yang, Lijian - 2002
outliers whose detection and removal are particularly difficult to achieve in high dimension. We propose an estimation …
Persistent link: https://www.econbiz.de/10009627283
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Robust estimation with discrete explanatory variables
Čížek, Pavel - 2002
Persistent link: https://www.econbiz.de/10009627285
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Neighborhoods as nuisance parameters? : robustness vs. semiparametrics
Rieder, Helmut - 1999
Deviations from the center within a robust neighborhood may naturally be considered an infinite dimensional nuisance parameter. Thus, in principle, the semiparametric method may be tried, which is to compute the scores function for the main parameter minus its orthogonal projection on the closed...
Persistent link: https://www.econbiz.de/10009581097