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Local linear smoothers using asymmetric kernels

Chen, Song Xi - 1999

This paper considers using asymmetric kernels in local linear smoothing to estimate a regression curve with bounded support. The asymmetric kernels are either beta kernels if the curve has a compact support or gamma kernels if the curve is bounded from one end only. While possessing the standard...

Persistent link: https://www.econbiz.de/10009582406

Semiparametric lack-of-fit tests in an additive hazard regression model

Grund, Birgit; Polzehl, Jörg - 1999

In the semiparametric additive hazard regression model of McKeague and Sasieni (1994), the hazard contributions of some covariates are allowed to change over time, without parametric restrictions (Aalen model), while the contributions of other covariates are assumed to be constant. In this...

Persistent link: https://www.econbiz.de/10009582408

Generalized additive models

Sperlich, Stefan; Zelinka, Jiří - 2000

Persistent link: https://www.econbiz.de/10009583872

Cointegrating smooth transition regressions with applications to the Asian currency crisis

Saikkonen, Pentti; Choi, In - 2000

This paper studies the smooth transition regression model where regressors are I(1) and errors are I(0). The regressors and errors are assumed to be dependent both serially and contemporaneously. Using the triangular array asymptotics, the nonlinear least squares estimator is shown to be...

Persistent link: https://www.econbiz.de/10009612025

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

Quantile hedging

Föllmer, Hans; Leukert, Peter - 1998

which succeeds with high probability. -- Hedging ; superhedging ; Neyman Pearson lemma ; stochastic volatility ; value at …

Persistent link: https://www.econbiz.de/10009574876

A note on stochastic volatility, GARCH models, and hyperbolic distributions

Jaschke, Stefan R. - 1997

We establish a relation between stochastic volatility models and the class of generalized hyperbolic distributions …

Persistent link: https://www.econbiz.de/10009577459

Nonparametric autoregression with multiplicative volatility and additive mean

Yang, Lijian; Härdle, Wolfgang; Nielsen, Jens Perch - 1998

mean. For the volatility function, i.e., the conditional variance given the past, a multiplicative structure is more … appropriate than an additive one, as the volatility is a positive scale function and a multiplicative model provides a better … additive mean and the multiplicative volatility. The technique used is marginally integrated local polynomial estimation. The …

Persistent link: https://www.econbiz.de/10009578559

Modelling exchange rates volatility with multivariate long-memory ARCH processes

Teyssière, Gilles - 1999 - Rev.

We consider two multivariate long-memory ARCH models, which extend the univariate long-memory ARCH models, we first consider a long-memory extension of the restricted constant conditional correlations (CCC) model introduced by Bollerslev (1990), and we propose a new unrestricted conditional...

Persistent link: https://www.econbiz.de/10009579181