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explorative study aims to shed some light into the black-box of the matching technology by applying nonparametric estimation …
Persistent link: https://www.econbiz.de/10009574874
Persistent link: https://www.econbiz.de/10001918978
The analysis of diffusion processes in financial models is crucially dependent on the form of the drift and diffusion coefficient functions. A methodology is proposed for estimating and testing coefficient functions for ergodic diffusions that are not directly observable. It is based on...
Persistent link: https://www.econbiz.de/10009613611
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
The annual structure of the real GDP in the UK, France, Germany and Italy is examined in this article by means of fractionally integrated techniques. Using a version of a testing procedure due to Robinson (1994), we show that the series can be specified in terms of I(d) statistical models with d...
Persistent link: https://www.econbiz.de/10009613608
A bootstrap methodology for the periodogram of a stationary process is proposed which is based on a combination of a time domain parametric and a frequency domain nonparametric bootstrap. The parametric fit is used to generate periodogram ordinates and imitate the essential features of the data...
Persistent link: https://www.econbiz.de/10009614876
variable and can cover a wide range of nonlinear dynamic processes. The estimation procedure consists of two steps; local …
Persistent link: https://www.econbiz.de/10009618359
Kernel smoothing in nonparametric autoregressive schemes offers a powerful tool in modelling time series. In this paper it is shown that the bootstrap can be used for estimating the distribution of kernel smoothers. This can be done by mimicking the stochastic nature of the whole process in the...
Persistent link: https://www.econbiz.de/10009632604
A nonparametric version of the Final Prediction Error (FPE) is proposed for lag selection in nonlinear autoregressive time series. We derive its consistency for both local constant and local linear estimators using a derived optimal bandwidth. Further asymptotic analysis suggests a greater...
Persistent link: https://www.econbiz.de/10009659069
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