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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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, mathematics, statistics, and machine learning. Econometric methods have been applied in asset pricing, corporate finance …
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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/10010270732
In semiparametric models it is a common approach to under-smooth the nonparametric functions in order that estimators …
Persistent link: https://www.econbiz.de/10010274155
Let (X1, Y1), ..., (Xn, Yn) be i.i.d. rvs and let v(x) be the unknown T-expectile regression curve of Y conditional on X. An expectile-smoother vn(x) is a localized, nonlinear estimator of v(x). The strong uniform consistency rate is established under general conditions. In many applications it...
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text book focuses on building-up models for macroeconomic variables of Sudan with the possibilities that they have the …
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Randomized experiments commonly compare subjects receiving a treatment to subjects receiving a placebo. An alternative design, frequently used in field experimentation, compares subjects assigned to an untreated baseline group to subjects assigned to a treatment group, adjusting statistically...
Persistent link: https://www.econbiz.de/10014187485
In recent years, social scientists have increasingly turned to matching as a method for drawing causal inferences from observational data. Matching compares those who receive a treatment to those with similar background attributes who do not receive a treatment. Researchers who use matching...
Persistent link: https://www.econbiz.de/10014187492