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Estimating covariance matrices using estimating functions in nonparametric and semiparametric regression

Carroll, Raymond J.; Iturria, Stephen J.; Gutierrez, … - 1997

nonparametric regression and in a class of semiparametric problems. Unlike other estimates in the literature, ours do not require … auxiliary or additional nonparametric regressions. -- Nonparametric regression ; Estimating Equations ; Kernel regression ; Plug …

Persistent link: https://www.econbiz.de/10009631747

Correlation risk premia for multi-asset equity options

Fengler, Matthias R. (contributor); … - 2003 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10001919088

Cyclical correlations, credit contagion, and portfolio losses

Giesecke, Kay (contributor); Weber, Stefan (contributor) - 2003 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10001919109

Canonical correlation statistics for testing the cointegration rank in a reversed order

Breitung, Jörg - 1998

In this paper a Canonical Correlation Analysis (CCA) is used to test the hypothesis r = r0 against the alternative r …

Persistent link: https://www.econbiz.de/10009578561

Giesecke, Kay - 2001

correlation measure, which overcomes the limitations of existing covariance based measures. A case study is examined, where …

Persistent link: https://www.econbiz.de/10009621426

Common factors governing VDAX movements and the maximum loss

Härdle, Wolfgang; Schmidt, Peter - 2000

Based on daily VDAX data this paper analyzes the factors governing the movements of implied volatilities of options on the German stock index DAX. Using Principal Components Analysis over the sample period from 1996 to 1997, we derive common factors representing "shift" and "curvature" of the...

Persistent link: https://www.econbiz.de/10009612026

On adaptive smoothing in partial linear models

Golubev, Georgi; Härdle, Wolfgang - 2001

We consider a problem of estimation of parametric components in a partial linear model. Suppose that a finite set E of linear estimators is given. Our goal is to mimic the estimator in E that has the smallest risk. Using a second order expansion of the risk of linear estimators we propose a...

Persistent link: https://www.econbiz.de/10009614293

Regression quantiles with errors-in-variables

Ioannides, D. A. (contributor); … - 2003 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10001916755

Asymptotic properties of model selection procedures in linear regression

Droge, Bernd (contributor) - 2003 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10001919491

Nonparametric estimation and testing of interaction in additive models

Sperlich, Stefan; Tjostheim, Dag; Yang, Lijian - 1998

for the production function is discussed. -- Nonparametric Regression ; Additive Models ; Testing Additivity ; Derivative …

Persistent link: https://www.econbiz.de/10009574875