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Inference for multi-dimensional high-frequency data: Equivalence of methods, central limit theorems, and an application to conditional independence testing

Bibinger, Markus; Mykland, Per A. - 2013

We find the asymptotic distribution of the multi-dimensional multi-scale and kernel estimators for high-frequency financial data with microstructure. Sampling times are allowed to be asynchronous. The central limit theorem is shown to have a feasible version. In the process, we show that the...

Persistent link: https://www.econbiz.de/10010318742

Variable selection in Cox regression models with varying coefficients

Honda, Toshio; Härdle, Wolfgang Karl - 2012

We deal with two kinds of Cox regression models with varying coefficients. The coefficients vary with time in one model. In the other model, there is an important random variable called an index variable and the coefficients vary with the variable. In both models, we have p-dimensional...

Persistent link: https://www.econbiz.de/10010318744

A uniform central limit theorem and efficiency for deconvolution estimators

Söhl, Jakob; Trabs, Mathias - 2012

We estimate linear functionals in the classical deconvolution problem by kernel estimators. We obtain a uniform central limit theorem with square root n rate on the assumption that the smoothness of the functionals is larger than the ill-posedness of the problem, which is given by the polynomial...

Persistent link: https://www.econbiz.de/10010318746

Additive models: Extensions and related models

Mammen, Enno; Park, Byeong U.; Schienle, Melanie - 2012

applicability in models closely related to additive models such as nonparametric regression with dependent error variables where the … errors can be transformed to white noise by a linear transformation, nonparametric regression with repeatedly measured data …, nonparametric panels with fixed effects, simultaneous nonparametric equation models, and non- and semiparametric autoregression and …

Persistent link: https://www.econbiz.de/10010318754

Measuring the impact of critical incidents on brand personality

Tischer, Sven - 2012

To evaluate how occurring critical incidents change customer perceptions of brand personality, this study measures the impact on the basis of an online experiment. For this purpose, 1,132 usable responses are gathered considering the smartphone brands of Apple and Nokia as well as different...

Persistent link: https://www.econbiz.de/10010318755

Support vector machines with evolutionary feature selection for default prediction

Härdle, Wolfgang Karl; Prastyo, Dedy Dwi; Hafner, Christian - 2012

Predicting default probabilities is at the core of credit risk management and is becoming more and more important for banks in order to measure their client's degree of risk, and for firms to operate successfully. The SVM with evolutionary feature selection is applied to the CreditReform...

Persistent link: https://www.econbiz.de/10010318756

Nonparametric Kernel density estimation near the boundary

Malec, Peter; Schienle, Melanie - 2012

Standard fixed symmetric kernel type density estimators are known to encounter problems for positive random variables with a large probability mass close to zero. We show that in such settings, alternatives of asymmetric gamma kernel estimators are superior but also differ in asymptotic and...

Persistent link: https://www.econbiz.de/10010318760

Do high-frequency data improve high-dimensional portfolio allocations?

Hautsch, Nikolaus; Kyj, Lada. M.; Malec, Peter - 2013

This paper addresses the open debate about the usefulness of high-frequency (HF) data in large-scale portfolio allocation. We consider the problem of constructing global minimum variance portfolios based on the constituents of the S&P 500 over a four-year period covering the 2008 financial...

Persistent link: https://www.econbiz.de/10010318770

Implied basket correlation dynamics

Härdle, Wolfgang Karl; Silyakova, Elena - 2012

Equity basket correlation is an important risk factor. It characterizes the strength of linear dependence between assets and thus measures the degree of portfolio diversification. It can be estimated both under the physical measure from return series, and under the risk neutral measure from...

Persistent link: https://www.econbiz.de/10010318771

Estimating the quadratic covariation matrix from noisy observations: Local method of moments and efficiency

Bibinger, Markus; Hautsch, Nikolaus; Malec, Peter; … - 2013

An efficient estimator is constructed for the quadratic covariation or integrated covolatility matrix of a multivariate continuous martingale based on noisy and non-synchronous observations under high-frequency asymptotics. Our approach relies on an asymptotically equivalent continuous-time...

Persistent link: https://www.econbiz.de/10010318777