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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

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

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

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

Projection pursuit regression and neural networks

Klinke, Sigbert; Grassmann, J. - 1998

Persistent link: https://www.econbiz.de/10009576213

Regression and contrast estimated based on adaptive regressograms depending on qualitative explanatory variables

Bunke, Olaf; Castell, Ernestina - 1998

This methodological paper discusses the application of "adaptive" non-parametric procedures for estimating regression …

Persistent link: https://www.econbiz.de/10009577458

Constructive asymptotic equivalence of density estimation and Gaussian white noise

Nussbaum, Michael; Klemelä, Jussi - 1998

A recipe is provided for producing, from a sequence of procedures in the Gaussian regression model, an asymptotically … observations from a Gaussian discrete regression model. -- asymptotic minimax risk ; Nonparametric experiments ; deficiency …

Persistent link: https://www.econbiz.de/10009578013