This paper deals with estimating peaked densities over the interval [0,1] using two-sided power distribution (Kotz, van Dorp, 2004). Such data were encountered in experiments determining certainty equivalents of lotteries (Kontek, 2010). This paper summarizes the basic properties of the...

This paper proposes a new combined semiparametric estimator of the conditional variance that takes the product of a parametric estimator and a nonparametric estimator based on machine learning. A popular kernel-based machine learning algorithm, known as the kernel-regularized least squares...

This paper formulates dynamic density functions, based upon skewed-t and similar representations, to model and forecast electricity price spreads between different hours of the day. This supports an optimal day ahead storage and discharge schedule, and thereby facilitates a bidding strategy for...

This paper will outline the functionality available in the CovRegpy package for actuarial practitioners, wealth managers, fund managers, and portfolio analysts written in Python 3.7. The major contributions of CovRegpy can be found in the CovRegpy_DCC.py, CovRegpy_IFF.py, CovRegpy_RCR.py,...

This paper addresses whether and to what extent econometric methods used in experimental studies can be adapted and applied to financial data to detect the best-fitting preference model. To address the research question, we implement a frequently used nonlinear probit model in the style of Hey...

Abstract. This paper establishes non-asymptotic oracle inequalities for the prediction error and estimation accuracy of the LASSO in stationary vector autoregressive models. These inequalities are used to establish consistency of the LASSO even when the number of parameters is of a much larger...

This paper deals with estimating peaked densities over the interval [0,1] using the Uneven Two-Sided Power Distribution (UTP). This distribution is the most complex of all the bounded power distributions introduced by Kotz and van Dorp (2004). The UTP maximum likelihood estimator, a result not...

The paper will set out to prove 'The law of large numbers' in the context of a regression analysis. The paper starts out with a predetermined set of regression population parameters which are the intercept, slope coefficients of the two independent variables- β_0, β_1 and β_2. The aim of the...

It is common practice to forecast social, political, and economic outcomes by polling people about their intentions. This approach is direct, but it can be unreliable in settings where it is hard to identify a representative sample, or where subjects have an incentive to conceal their true...

Pre-averaging is a popular strategy for mitigating microstructure in high frequency financial data. As the term suggests, transaction or quote data are averaged over short time periods ranging from 30 seconds to five minutes, and the resulting averages approximate the efficient price process...