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The role of hypothesis testing in the molding of econometric models
Hoover, Kevin D. - In: Erasmus journal for philosophy and economics : EJPE 6 (2013) 2, pp. 43-65
Persistent link: https://www.econbiz.de/10010229499
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The role of hypothesis testing in the molding of econometric models
Hoover, Kevin D. - 2012 - Revised, 18 January 2012
economic hypotheses. The issue is formulated in the context of recent philosophical accounts on the nature of models and …
Persistent link: https://www.econbiz.de/10011708192
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Handbook of financial econometrics, mathematics, statistics, and machine learning
Lee, Cheng F. (ed.); Lee, John C. (ed.) - 2021
, mathematics, statistics, and machine learning. Econometric methods have been applied in asset pricing, corporate finance …
Persistent link: https://www.econbiz.de/10012061412
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Optimal smoothing for a computationally and statistically efficient single index estimator
Xia, Yingcun; Härdle, Wolfgang; Linton, Oliver - 2009
In semiparametric models it is a common approach to under-smooth the nonparametric functions in order that estimators …
Persistent link: https://www.econbiz.de/10003835181
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Uniform confidence bands for pricing kernels
Härdle, Wolfgang; Okhrin, Yarema; Wang, Weining - 2010
Pricing kernels implicit in option prices play a key role in assessing the risk aversion over equity returns. We deal with nonparametric estimation of the pricing kernel (Empirical Pricing Kernel) given by the ratio of the risk-neutral density estimator and the subjective density estimator. The...
Persistent link: https://www.econbiz.de/10003952791
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Nonparametric estimates for conditional quantiles of time series
Franke, Jürgen E.; Mwita, Peter; Wang, Weining - 2014
We consider the problem of estimating the conditional quantile of a time series fYtg at time t given covariates Xt, where Xt can ei- ther exogenous variables or lagged variables of Yt . The conditional quantile is estimated by inverting a kernel estimate of the conditional distribution function,...
Persistent link: https://www.econbiz.de/10010238365
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Tie the straps : uniform bootstrap con fidence bands for bounded influence curve estimators
Härdle, Wolfgang; Ritov, Ya'acov; Wang, Weining - 2013
developed for additive models with both symmetric error distributions and further extension to the quantile regression framework …
Persistent link: https://www.econbiz.de/10010195959
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A confidence corridor for expectile functions
Duran, Esra Akdeniz; Guo, Mengmeng; Härdle, Wolfgang - 2010
temperature models to investigate the temperature risk drivers. -- Expectile Regression ; Consistency Rate ; Simultaneous …
Persistent link: https://www.econbiz.de/10008772556
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Pricing kernel modeling
Belomestny, Denis; Ma, Shujie; Härdle, Wolfgang - 2015
We propose a new method to estimate the empirical pricing kernel based on option data. We estimate the pricing kernel nonparametrically by using the ratio of the risk-neutral density estimator and the subjective density estimator. The risk-neutral density is approximated by a weighted kernel...
Persistent link: https://www.econbiz.de/10010462645
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Asymptotic Approximations to CEV and SABR Models
Jordan, Richard - 2011
the underlying asset does not follow the standard Black-Scholes model but instead the CEV or SABR models. The underlying … the pricing and hedging problem. This can be problematic for complex models if real-time valuations, hedging and … for the pricing problem. For these models, default may be possible and the original ray approximation is not valid near …
Persistent link: https://www.econbiz.de/10013124720