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Nonparametric estimation of first price auctions via density-quantile function
Zhang, Yu Yvette - In: Economics letters 216 (2022), pp. 1-4
Persistent link: https://www.econbiz.de/10013448332
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A fluctuation test for constant Spearman’s rho
Wied, Dominik; Dehling, Herold; Kampen, Maarten van; … - 2011
Persistent link: https://www.econbiz.de/10009155239
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A simple, transparent and rational weighting approach to combining different operational risk data sources
Renaudin, Alexis; Grant, Matthew - In: The journal of operational risk 10 (2015) 2, pp. 23-44
Persistent link: https://www.econbiz.de/10011298866
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On optimal spatial subsample size for variance estimation
Nordman, Daniel J.; Lahiri, Soumendra N. - 2002
In this paper, we consider the problem of determining the optimal block size for a spatial subsampling method for spatial processes observed on regular grids. We derive expansions for the mean square error of the subsampling variance estimator, which yields an expression for the theoretical...
Persistent link: https://www.econbiz.de/10009770911
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Proxy SVARs : asymptotic theory, bootstrap inference, and the effects of income tax changes in the United States
Jentsch, Carsten; Lunsford, Kurt G. - 2016
Persistent link: https://www.econbiz.de/10011549676
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Inference for extremal regression with dependent heavy-tailed data
Daouia, Abdelaati; Stupfler, Gilles; Usseglio-Carleve, … - 2022
Persistent link: https://www.econbiz.de/10013170015
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Invariance principles for dependent processes indexed by Besov classes with an application to a Hausman test for linearity
Kuersteiner, Guido M. - In: Journal of econometrics 211 (2019) 1, pp. 243-261
Persistent link: https://www.econbiz.de/10012303619
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Extreme M-quantiles as risk measures : from L1 to Lp optimization
Daouia, Abdelaati; Girard, Stéphane; Stupfler, Gilles - 2017
Persistent link: https://www.econbiz.de/10012266461
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Proxy SVARs : asymptotic theory, bootstrap inference, and the effects of income tax changes in the United States
Jentsch, Carsten; Lunsford, Kurt G. - 2016
shocks. We provide asymptotic theory for proxy SVARs when the VAR innovations and proxy variables are jointly a-mixing. We …
Persistent link: https://www.econbiz.de/10011570152
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A stochastic recurrence equation approach to stationarity and phi-mixing of a class of nonlinear ARCH models
Blasques, Francisco; Nientker, Marc - 2017
a strictly stationary and phi-mixing solution. Moreover, we show that any path converges to this solution. The proof …
Persistent link: https://www.econbiz.de/10011699508