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Estimation of derivates for additive separable models

Severance-Lossin, E.; Sperlich, Stefan - 1997

; Additive Models ; Derivative Estimation ; Production Function … 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 …

Persistent link: https://www.econbiz.de/10009657128

Probabilistic aspects of financial risk

Föllmer, Hans - 2000

hedging derivatives and of intertemporal consumption choice. …

Persistent link: https://www.econbiz.de/10009612020

Estimation and arbitrage opportunities for exchange rate baskets

Mercurio, Danilo; Torricelli, Costanza - 2001

currency basket, i.e. a linear combination of foreign currencies. In line with the mean-variance hedging approach, we determine …. The different estimators are compared with profit based criteria. -- exchange rates ; mean-variance hedging ; adaptive … estimation …

Persistent link: https://www.econbiz.de/10009613598

A bootstrap test for single index models

Härdle, Wolfgang; Mammen, Enno; Proença, Isabel - 2000

Single index models are frequently used in econometrics and biometrics. Logit and Probit models are special cases with … ; kernel estimate ; single index model ; specification test …

Persistent link: https://www.econbiz.de/10009583431

Compensator-based simulation of correlated defaults

Giesecke, Kay - 2002

The market for derivatives with payoffs contingent on the credit quality of a number of reference entities has grown considerably over recent years. The risk analysis and valuation of such multi-name structures often relies on simulating the performance of the underlying credits. In this paper...

Persistent link: https://www.econbiz.de/10009624843