Narrow search
Showing 1 - 10 of 117
Cover Image
Estimating Multiplicative and Additive Hazard Functions by Kernel Methods.
Linton, Oliver B.; Perch Nielsen, Jens; Van de Geer, Sara - Ehrvervøkonomisk Institut, Institut for Økonomi - 2001
We propose new procedures for estimating the univariate quantities of interest in both additive and multiplicative nonparametric marker dependent hazard models. We work with a full counting process framework that allows for left truncation and right censoring. Our procedures are based on kernels...
Persistent link: https://www.econbiz.de/10005802136
Cover Image
Identification of a standard Al based technique for credit risk analysis
Punniyamoorthy, M.; Sridevi, P. - In: Benchmarking : an international journal ; BIJ 23 (2016) 5, pp. 1381-1390
Persistent link: https://www.econbiz.de/10011571831
Cover Image
Asymptotics of SIMEX-based variance estimation
Fang, Yun; Zhu, Li-Xing - In: Metrika 75 (2012) 3, pp. 329-345
Persistent link: https://www.econbiz.de/10010539345
Cover Image
Specification Testing for Multivariate Time Series Volatility Models
Lee, Yoon-Jin; Hong, Yongmiao - Econometric Society - 2004
Volatility models have been playing an important role in economics and finance. Using a multivariate generalized spectral approach, we propose a new class of generally applicable omnibus tests for univariate and multivariate volatility models. Both GARCH models and stochastic volatility models...
Persistent link: https://www.econbiz.de/10005342373
Cover Image
Contemporary Issues in Estimating Yield Distributions
Pujula, Aude Liliana; Maradiaga, David Isaias; Dicks, … - 2010
In the research area of crop yield density estimation and in particular in risk analysis, little emphasis has been given to the appropriateness of transformation methods (e.g., removing a linear trend) and how such transformations impact the reliability of the empirical distribution functions...
Persistent link: https://www.econbiz.de/10009446529
Cover Image
Pricing kernel modeling
Belomestny, Denis; Ma, Shujie; Härdle, Wolfgang Karl - 2014
We propose a new method to estimate the empirical pricing kernel based on option data. We estimate the pricing kernel …-neutral density is approximated by a weighted kernel density estimator with varying unknown weights for di erent observations, and the … subjective density is approximated by a kernel density estimator with equal weights. We represent the European call option price …
Persistent link: https://www.econbiz.de/10010491441
Cover Image
A nonparametric regression estimator that adapts to error distribution of unknown form
Linton, Oliver Bruce; Xiao, Zhijie - 2001
kernel estimators when the error distribution is not normal. We investigate the finite sample performance of our procedure on …
Persistent link: https://www.econbiz.de/10010310396
Cover Image
Quantile regression estimates for a class of linear and partially linear errors-in-variables models
He, Xuming; Liang, Hua - 1997
We consider the problem of estimating quantile regression coefficients in errors-in-variables models. When the error variables for both the response and the manifest variables have a joint distribution that is spherically symmetric but otherwise unknown, the regression quantile estimates based...
Persistent link: https://www.econbiz.de/10010310794
Cover Image
A semi-parametric approach to the Oaxaca-Blinder decomposition with continuous group variable and self-selection
Rios-Avila, Fernando - 2019
This paper describes the application of a semiparametric approach, known as a varying coefficients model (Hastie and Tibshirani 1993), to implement a Oaxaca-Blinder type of decomposition in the presence of self-selection into treatment groups for a continuum of comparison groups. The flexibility...
Persistent link: https://www.econbiz.de/10012142977
Cover Image
A consistent bootstrap procedure for nonparametric symmetry tests
Henderson, Daniel J.; Parmeter, Christopher F. - In: Economics letters 131 (2015), pp. 78-82
Persistent link: https://www.econbiz.de/10011422658