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International portfolio allocation : the role of conditional higher moments
Trung Hai Le - In: International review of economics & finance : IREF 74 (2021), pp. 33-57
Persistent link: https://www.econbiz.de/10012792935
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Inference for local distributions at high sampling frequencies : a bootstrap approach
Hounyo, Ulrich; Varneskov, Rasmus Tangsgaard - In: Journal of econometrics 215 (2020) 1, pp. 1-34
Persistent link: https://www.econbiz.de/10012439150
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Distribution regression with sample selection, with an application to wage decompositions in the UK
Chernozhukov, Victor; Fernández-Val, Iván; Luo, Siyi - 2018
We develop a distribution regression model under endogenous sample selection. This model is a semiparametric generalization of the Heckman selection model that accommodates much rich patterns of heterogeneity in the selection process and effect of the covariates. The model applies to continuous,...
Persistent link: https://www.econbiz.de/10011935935
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Explaining variability in tourist preferences : a Bayesian model well suited to small samples
Follett, Lendie; Vander Naald, Brian - In: Tourism management : research, policies, practice 78 (2020), pp. 1-15
Persistent link: https://www.econbiz.de/10012165765
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Bayesian predictive distributions of oil returns using mixed data sampling volatility models
Virbickaite, Audrone; Nguyen, Hoang; Minh-Ngoc Tran - 2023
Stochastic Volatility (SV), along with Mixed Data Sampling (MIDAS) regressions, which enable us to incorporate the impacts of …
Persistent link: https://www.econbiz.de/10014252427
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Estimation of the shape parameter of GED distribution for a small sample size
Purczyński, Jan; Bednarz-Okrzyńska, Kamila - In: Folia oeconomica Stetinensia : FOS 14 (2014) 1, pp. 35-46
Persistent link: https://www.econbiz.de/10010518933
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On the robustness of location estimators in models of firm growth under heavy-tailedness
Ibragimov, Rustam Ju. - In: Journal of econometrics 181 (2014) 1, pp. 25-33
Persistent link: https://www.econbiz.de/10010473439
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Fitting a distribution to survey data for the half-life of deviations from PPP
Fisher, Mark - 2015
This note presents a nonparametric Bayesian approach to fitting a distribution to the survey data provided in Kilian and Zha (2002) regarding the prior for the half-life of deviations from purchasing power parity (PPP). A point mass at infinity is included. The unknown density is represented as...
Persistent link: https://www.econbiz.de/10011403123
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Estimating the population mean using a continuous sampling design dependent on an auxiliary variable
Wywiał, Janusz - In: Statistics in transition : an international journal of … 21 (2020) 5, pp. 1-16
estimate the mean of the variable under study using a sampling design which is dependent on the observation of a continuous … inclusion density function of the sampling design. The variance of the continuous version of the Horvitz-Thompson estimator … under the proposed sampling design is compared with the variance of the mean of a simple random sample. The accuracy of the …
Persistent link: https://www.econbiz.de/10012655719
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Nonparametric filtering of conditional state-price densities
Dalderop, Jeroen - In: Journal of econometrics 214 (2020) 2, pp. 295-325
Persistent link: https://www.econbiz.de/10012438391