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Nonparametric estimation of conditional value-at-risk and expected shortfall based on extreme value theory
Martins-Filho, Carlos; Yao, Feng; Torero, Máximo - In: Econometric theory 34 (2018) 1, pp. 23-67
Persistent link: https://www.econbiz.de/10011950922
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Estimation risk in GARCH VaR and ES estimates
Gao, Feng; Song, Fengming - In: Econometric theory 24 (2008) 5, pp. 1404-1424
Persistent link: https://www.econbiz.de/10003748804
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Specification and estimation of semiparametric multiple-index models
Donkers, Bas; Schafgans, Marcia M. A. - In: Econometric theory 24 (2008) 6, pp. 1584-1606
Persistent link: https://www.econbiz.de/10003771790
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Asymptotic properties of nonparametric frontier estimators
Horváth, Lajos; Horváth, Zsuzsanna; Zhou, Wang - In: Econometric theory 24 (2008) 6, pp. 1607-1627
Persistent link: https://www.econbiz.de/10003771886
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A puzzling phenomenon in semiparametric estimation problems with infinite-dimensional nuisance parameters
Hitomi, Kohtaro; Nishiyama, Yoshihiko; Okui, Ryo - In: Econometric theory 24 (2008) 6, pp. 1717-1728
Persistent link: https://www.econbiz.de/10003771893
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A generalization of the Burridge-Guerre nonparametric root test
García, Ana; Sansó, Andreu - In: Econometric theory 22 (2006) 4, pp. 756-761
Persistent link: https://www.econbiz.de/10003351884
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Efficiency bounds for semiparametric estimation of inverse conditional-density-weighted functions
Jacho-Chávez, David T. - In: Econometric theory 25 (2009) 3, pp. 847-855
Persistent link: https://www.econbiz.de/10003864193
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Efficient semiparametric seemingly unrelated quantile regression estimation
Jun, Sung Jae; Pinkse, Joris - In: Econometric theory 25 (2009) 5, pp. 1392-1414
Persistent link: https://www.econbiz.de/10003885777
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Localized model selection for regression
Yang, Yuhong - In: Econometric theory 24 (2008) 2, pp. 472-492
Persistent link: https://www.econbiz.de/10003894209
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Tests of the martingale difference hypothesis using boosting and RBF neural network approximations
Kapetanios, George; Blake, Andrew P. - In: Econometric theory 26 (2010) 5, pp. 1363-1397
Persistent link: https://www.econbiz.de/10008662665