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Outlyingness weighted covariation
Boudt, Kris; Croux, Christophe; Laurent, Sébastien - In: Journal of financial econometrics : official journal of … 9 (2011) 4, pp. 657-684
Persistent link: https://www.econbiz.de/10009407333
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Regularized Semiparametric Estimation of High Dimensional Dynamic Conditional Covariance Matrices
Morana, Claudio - 2019
This paper proposes a three-step estimation strategy for dynamic conditional correlation models. In the first step … usual normalization. In the third step, the two-step conditional covariance and correlation matrices are regularized by … model. This yields the final, third step smoothed estimate of the conditional covariance and correlation matrices. Due to …
Persistent link: https://www.econbiz.de/10012899132
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A nonparametric eigenvalue-regularized integrated covariance matrix estimator for asset return data
Lam, Clifford; Feng, Phoenix - In: Journal of econometrics 206 (2018) 1, pp. 226-257
Persistent link: https://www.econbiz.de/10012110378
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Regression discontinuity design with potentially many covariates
Arai, Yoichi; Otsu, Taisuke; Seo, Myung Hwan - 2021
Persistent link: https://www.econbiz.de/10014311627
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A powerful tuning parameter free test of the autoregressive unit root hypothesis
Nielsen, Morten Ørregaard (contributor) - 2008
This paper presents a family of simple nonparametric unit root tests indexed by one parameter, d, and containing Breitung's (2002) test as the special case d = 1. It is shown that (i) each member of the family with d 0 is consistent, (ii) the asymptotic distribution depends on d, and thus...
Persistent link: https://www.econbiz.de/10003728253
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Generated covariates in nonparametric estimation : a short review
Mammen, Enno; Rothe, Christoph; Schienle, Melanie - 2012
In many applications, covariates are not observed but have to be estimated from data. We outline some regression-type models where such a situation occurs and discuss estimation of the regression function in this context.We review theoretical results on how asymptotic properties of nonparametric...
Persistent link: https://www.econbiz.de/10009551899
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Two-scale realized kernels : a univariate case
Ikeda, Shin S. - In: Journal of financial econometrics : official journal of … 13 (2015) 1, pp. 126-165
Persistent link: https://www.econbiz.de/10010519659
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Spot variance path estimation and its application to high frequency jump testing
Bos, Charles S.; Janus, Paweł; Koopman, Siem Jan - 2009
This paper considers spot variance path estimation from datasets of intraday high frequency asset prices in the presence of diurnal variance patterns, jumps, leverage effects and microstructure noise. We rely on parametric and nonparametric methods. The estimated spot variance path can be used...
Persistent link: https://www.econbiz.de/10011379469
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A note on estimationg variance of finite population distribution function
Adhya, Sumanta; Banerjee, Tathagata; Chattopadhyay, … - 2015
Persistent link: https://www.econbiz.de/10011334577
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Nonparametric analysis of covariance
Dette, Holger; Neumeyer, Natalie - 2000
In the problem of testing the equality of k regression curves from independent samples we discuss three methods using nonparametric estimation techniques of the regression function. The first test is based on a linear combination of estimators for the integrated variance function in the...
Persistent link: https://www.econbiz.de/10009783010