Similar Search Results

Comparing Penalized Splines and Fractional Polynomials for Flexible Modelling of the Effects of Continuous Predictor Variables

Strasak, Alexander; Umlauf, Nikolaus; Pfeiffer, Ruth; … - Institut für Finanzwissenschaft, Fakultät für … - 2010

P(enalized)-splines and fractional polynomials (FPs) have emerged as powerful smoothing techniques with increasing … restricted maximum likelihood (REML) for smoothing parameter selection. We evaluated the ability of P-splines and FPs to recover … in most simulation settings. FPs however, are prone to artefacts due to the specific choice of the origin, while P …

Persistent link: https://www.econbiz.de/10008498109

Nonparametric models and their estimation

Kauermann, Göran - In: AStA Advances in Statistical Analysis 90 (2006) 1, pp. 137-152

Persistent link: https://www.econbiz.de/10005598078

Stock returns and economic activity; evidence from wavelet analysis

Gallegati, Marco - Society for Computational Economics - SCE - 2005

Many empirical studies have analyzed the interations between the stock market and aggregate economic activity by examining either their short run or long run relationships, as the time series methodologies employed (cointegration analysis) may separate out just two time scales in economic time...

Persistent link: https://www.econbiz.de/10005537491

Modeling the industrial dynamics of the European metropolitan areas during the process of economic integration: a semiparametric approach

Longhi, C.; Musolesi, A.; Baumont, C. - Laboratoire d'Économie Appliquée de Grenoble, … - 2013

The specialization patterns of metropolitan areas are crucial in characterizing the effects of economic integration in Europe. This paper aims to provide and estimate an econometric model that explains both sectoral specialization and sectoral dissimilarity, measured with the GINI and the...

Persistent link: https://www.econbiz.de/10010833304

Applied Nonparametric Regression Analysis: the Choice of Generalized Additive Models

Haghiri, Morteza - In: Review of Economics & Finance 3 (2013) February, pp. 25-34

Literature has documented tremendous changes in classical regression analysis techniques since 1980s. The drawbacks of simple and multiple parametric regression analyses on model specifications and the non-robust assumption of error terms followed by the introduction of a series of diagnostic...

Persistent link: https://www.econbiz.de/10010686083

Modeling structural change in the European metropolitan areas during the process of economic integration

Longhi, Christian; Musolesi, Antonio; Baumont, Catherine - In: Economic Modelling 37 (2014) C, pp. 395-407

Persistent link: https://www.econbiz.de/10011048890

Modeling structural change in the European metropolitan areas during the process of economic integration

Longhi, Christian; Musolesi, Antonio; Beaumont, Catherine - Département Sciences Sociales, Agriculture et … - 2014

Persistent link: https://www.econbiz.de/10011141767

Implied volatility string dynamics

Fengler, Matthias R.; Härdle, Wolfgang; Mammen, Enno - Sonderforschungsbereich 373, Quantifikation und … - 2003

A primary goal in modelling the dynamics of implied volatility surfaces (IVS) aims at reducing complexity. For this purpose one fits the IVS each day and applies a principal component analysis using a functional norm. This approach, however, neglects the degenerated string structure of the...

Persistent link: https://www.econbiz.de/10010983799

Estimating the spot covariation of asset prices: Statistical theory and empirical evidence

Bibinger, Markus; Hautsch, Nikolaus; Malec, Peter; … - Center for Financial Studies - 2014

We propose a new estimator for the spot covariance matrix of a multi-dimensional continuous semi-martingale log asset price process which is subject to noise and non-synchronous observations. The estimator is constructed based on a local average of block-wise parametric spectral covariance...

Persistent link: https://www.econbiz.de/10010958633

Low-dimensional decomposition, smoothing and forecasting of sparse functional data

Dokumentov, Alexander; Hyndman, Rob J - Department of Econometrics and Business Statistics, … - 2014

decomposing, smoothing and forecasting two-dimensional sparse data. In some ways, ROPES is similar to Ridge Regression, the LASSO …

Persistent link: https://www.econbiz.de/10010958945

1
2
3
4
5
6
7
8
9
10
Next
Last