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Bayesian estimation of bandwidths for a nonparametric regression model with a flexible error density
Zhang, Xibin; King, Maxwell L.; Shang, Han Lin - 2011
We approximate the error density of a nonparametric regression model by a mixture of Gaussian densities with means being the individual error realizations and variance a constant parameter. We investigate the construction of a likelihood and posterior for bandwidth parameters under this...
Persistent link: https://www.econbiz.de/10009406374
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Intraday stock price dependence using dynamic discrete copula distributions
Koopman, Siem Jan; Lit, Rutger; Lucas, André - 2015
Persistent link: https://www.econbiz.de/10010494787
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Dynamic price jumps : the performance of high frequency tests and measures, and the robustness of inference
Maneesoonthorn, Worapree; Martin, Gael M.; Forbes, … - 2018
Persistent link: https://www.econbiz.de/10012583570
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Long-term yields implied by stochastic discount factor decompositions
Cordeiro, Fernando; Almeida, Caio - In: Brazilian review of econometrics : BRE ; the review of … 39 (2019) 1, pp. 113-144
Persistent link: https://www.econbiz.de/10012210606
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Stock returns and real growth : A Bayesian nonparametric approach
Yang, Qiao - In: Journal of empirical finance 53 (2019), pp. 53-69
Persistent link: https://www.econbiz.de/10012171682
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Tail risk forecasting with semiparametric regression models by incorporating overnight information
Chen, Cathy W. S.; Koike, Takaaki; Shau, Wei-Hsuan - In: Journal of forecasting 43 (2024) 5, pp. 1492-1512
Persistent link: https://www.econbiz.de/10015108416
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A quantile regression approach to estimating the distribution of multiperiod returns
Taylor, James W. - In: The journal of derivatives : the official publication … 7 (1999) 1, pp. 64-78
Persistent link: https://www.econbiz.de/10001432473
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The specification of conditional expectations
Harvey, Campbell R. - In: Journal of empirical finance 8 (2001) 5, pp. 573-637
Persistent link: https://www.econbiz.de/10001655355
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Parametric and nonparametric estimation of conditional return expectations
Drobetz, Wolfgang; Hoechle, Daniel - In: Risk management : challenge and opportunity ; with 125 …, (pp. 169-196). 2005
Persistent link: https://www.econbiz.de/10002447562
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Reconstructing the yield curve
Liu, Yan; Wu, Jing Cynthia - In: Journal of financial economics 142 (2021) 3, pp. 1395-1425
Persistent link: https://www.econbiz.de/10012875953