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Estimation and Testing for Varying Coefficients in Additive Models with Marginal Integration
Yang, Lijian - 2017
regression model. Asymptotic distribution theory is developed for the estimation method which enjoys the same rate of convergence … as univariate function estimation. For the test statistic, asymptotic normal theory is established. These theoretical …
Persistent link: https://www.econbiz.de/10012966219
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Peaks or tails : what distinguishes financial data?
Krämer, Walter; Runde, Ralf - 1999
We argue against the view that it is mostly the peaks of the empirical densities of stock returns (and of other risky returns as well) that set such data aside from ‘normal’ variables. We show that peaks depend on sample size and on the way returns are standardized, and that for given data...
Persistent link: https://www.econbiz.de/10009793263
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Stock picking via nonsymmetrically pruned binary decision trees
Andriyashin, Anton V. (contributor) - 2008
Stock picking is the field of financial analysis that is of particular interest for many professional investors and researchers. In this study stock picking is implemented via binary classification trees. Optimal tree size is believed to be the crucial factor in forecasting performance of the...
Persistent link: https://www.econbiz.de/10003727376
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Nonparametric estimation of risk-neutral densities
Grith, Maria; Härdle, Wolfgang; Schienle, Melanie - 2010
This chapter deals with nonparametric estimation of the risk neutral density. We present three different approaches which do not require parametric functional assumptions on the underlying asset price dynamics nor on the distributional form of the risk neutral density. The first estimator is a...
Persistent link: https://www.econbiz.de/10003953034
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Microeconometric Evaluation Methods
Fougère, Denis - 2010
Our survey covers the recent developments of the microeconometric literature on evaluation methods. In this field, the canonical model is Rubin's causal model, which is close to Roy's selectivity model. This model is the relevant framework for defining and for examining the identifiability...
Persistent link: https://www.econbiz.de/10013136874
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Explaining Epps Effect When Bivariate Price Staleness Is Present
Zhu, Haibin; Liu, Zhi - 2022
realized covariation of semi-martingale. In this study, we establish a unified result for the limiting theory of the realized …. Moreover, we provide a new asymptotic theory for realized covariation by considering the bivariate price staleness processes … between assets. A Monte Carlo study verifies the proposed theory, and an analysis of real high-frequency data is proposed for …
Persistent link: https://www.econbiz.de/10013404859
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Stock picking via nonsymmetrically pruned binary decision trees
Andriyashin, Anton - 2008
Stock picking is the field of financial analysis that is of particular interest for many professional investors and researchers. In this study stock picking is implemented via binary classification trees. Optimal tree size is believed to be the crucial factor in forecasting performance of the...
Persistent link: https://www.econbiz.de/10010263732
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Semiparametric Approaches to the Prediction of Conditional Correlation Matrices in Finance
Herwartz, Helmut; Golosnoy, Vasyl - 2007
We consider the problem of ex-ante forecasting conditional correlation patterns using ultra high frequency data. Flexible semiparametric predictors referring to the class of dynamic panel and dynamic factor models are adopted for daily forecasts. The parsimonious set up of our approach allows to...
Persistent link: https://www.econbiz.de/10010296287
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Nonparametric estimation of risk-neutral densities
Grith, Maria; Härdle, Wolfgang Karl; Schienle, Melanie - 2010
This chapter deals with nonparametric estimation of the risk neutral density. We present three different approaches which do not require parametric functional assumptions on the underlying asset price dynamics nor on the distributional form of the risk neutral density. The first estimator is a...
Persistent link: https://www.econbiz.de/10010270813
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Structural estimation of search equilibrium models with wage posting
Launov, Andrey (contributor) - 2006
Persistent link: https://www.econbiz.de/10003476583