both the observed Put and Call option prices. -- isotonic regression ; Sobolev spaces ; monotonicity ; multiple …

We consider a difference based ridge regression estimator and a Liu type estimator of the regression parameters in the … partial linear semiparametric regression model, y = Xβ + f + Both estimators are analysed and compared in the sense of mean … ; Differencing matrix ; Liu estimator ; Liu type estimator ; Multicollinearity ; Ridge regression estimator ; Semiparametric model …

In this paper uniform confidence bands are constructed for nonparametric quantile estimates of regression functions … respect to different education levels. -- Bootstrap ; Quantile Regression ; Confidence Bands ; Nonparametric Fitting ; Kernel …

This paper studies the performance of nonparametric quantile regression as a tool to predict Value at Risk (VaR). The ….1%) quantiles, where particularly few data points are available, we propose to combine nonparametric quantile regression with … specifications of the Conditionally Autoregressive VaR (CAViaR) models. -- Value at Risk ; nonparametric quantile regression ; risk …

as well as quantile regression to weather risk indicators that are relevant from the viewpoint of agricultural production …

This article studies nonparametric estimation of a regression model for d ≥ 2 potentially non-stationary regressors. It … applicable nonparametric estimation technique before. Additive regression allows to circumvent the usual nonparametric curse of …

elements of CoVaR estimation are two levels of quantile regression: one on market risk factors; another on individual risk … factor. Tests on the functional form of the two-level quantile regression reject the linearity. A flexible semiparametric … ; Value-at-Risk ; quantile regression ; locally linear quantile regression ; partial linear model ; semiparametric model …

based quantile regression in order to determine an active set of portfolio elements with negative non-zero coefficients …