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For a Lévy process X having finite variation on compact sets and finite first moments, u (dx) = xv (dx) is a finite signed measure which completely describes the jump dynamics. We construct kernel estimators for linear functionals of u and provide rates of convergence under regularity...
Persistent link: https://www.econbiz.de/10010281557
kernel smoothing of the conditional mean function. An asymptotic theory for the resulting kernel estimator is developed and …
Persistent link: https://www.econbiz.de/10011422182
This paper considers simultaneous modelling of seasonality, slowly changing un- conditional variance and conditional heteroskedasticity in high-frequency fiancial returns. A new approach, called a seasonal SEMIGARCH model, is proposed to perform this by introducing multiplicative seasonal and...
Persistent link: https://www.econbiz.de/10010323932
Persistent link: https://www.econbiz.de/10010324074
This paper proposes a semiparametric approach by introducing a smooth scale function into the standard GARCH model so that conditional heteroskedasticity and scale change in a financial time series can be modelled simultaneously. An estimation procedure combining kernel estimation of the scale...
Persistent link: https://www.econbiz.de/10010324081
We propose a new semiparametric observation-driven volatility model where the form of the error density directly influences the volatility dynamics. This feature distinguishes our model from standard semiparametric GARCH models. The link between the estimated error density and the volatility...
Persistent link: https://www.econbiz.de/10010326169
on the one hand and the core property of an allocation on the other. In particular we show that it is an inhomogeneous … sacrifice') which is derived from the egalitarian-equivalent concept suggested by Moulin (1987). We also develop a simple core … test by which it can be checked whether a given allocation is in the core thus being a possible outcome of a cooperative …
Persistent link: https://www.econbiz.de/10010270530
, the set of Walrasian payoff vectors of the induced coalition production economy coincides with the core of the balanced …
Persistent link: https://www.econbiz.de/10010272566
The ex ante incentive compatible core of an exchange economy with private information is the (standard) core of a … incentive compatible core can be empty, even if utility functions are quasi-linear. If, in addition to quasi-linearity, further … assumptions are made (like independent private values), the non-emptiness of the core follows nevertheless from d?Aspremont and …
Persistent link: https://www.econbiz.de/10010273735
) coalitional equilibrium, describe a (cooperative) partition form game. A coalition is core-stable if the core of a suitable …
Persistent link: https://www.econbiz.de/10010273875