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Individual weighted excess and least square values
Zhang, Xia; Brink, René van den; Estévez-Fernández, … - In: Mathematical methods of operations research : ZOR 95 (2022) 2, pp. 281-296
Persistent link: https://www.econbiz.de/10013454881
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A blocking and regularization approach to high dimensional realized covariance estimation
Hautsch, Nikolaus; Kyj, Lada M.; Oomen, Roel C.A. - 2009
We introduce a regularization and blocking estimator for well-conditioned high-dimensional daily covariances using high-frequency data. Using the Barndorff-Nielsen, Hansen, Lunde, and Shephard (2008a) kernel estimator, we estimate the covariance matrix block-wise and regularize it. A data-driven...
Persistent link: https://www.econbiz.de/10010270808
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A blocking and regularization approach to high dimensional realized covariance estimation
Hautsch, Nikolaus; Kyj, Lada M.; Hautsch, Nikolaus - 2009
We introduce a regularization and blocking estimator for well-conditioned high-dimensional daily covariances using high-frequency data. Using the Barndorff-Nielsen, Hansen, Lunde, and Shephard (2008a) kernel estimator, we estimate the covariance matrix block-wise and regularize it. A data-driven...
Persistent link: https://www.econbiz.de/10010303678
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NP-REG: an interactive package for kernel density estimation and non-parametric regression
Duncan, Alan S.; Jones, Andrew M. - 1992
Persistent link: https://www.econbiz.de/10000834239
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The limiting behavior of kernel estimates of the Lyapunov exponent for stochastic time series
Whang, Yoon-Jae; Linton, Oliver - 1996
Persistent link: https://www.econbiz.de/10000621990
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Parametric versus nonparametric goodness of fit : another view
Läuter, Henning; Nikulin, Michail - 1999
Persistent link: https://www.econbiz.de/10001371689
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Comparison of nonparametric goodness of fit tests
Läuter, Henning; Sachsenweger, Cornelia - 1999
Persistent link: https://www.econbiz.de/10001377687
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Numerical results concerning a sharp adaptive density estimator
Butucea, Cristina - 1999
Persistent link: https://www.econbiz.de/10001389062
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Efficient density estimation and value at risk using Fejér-type kernel functions
Kosta, Olga; Stepanova, Natalia - In: Journal of mathematical finance 5 (2015) 5, pp. 480-504
Persistent link: https://www.econbiz.de/10011440699
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Adaptive Realized Kernels
Carrasco, Marine; Kotchoni, Rachidi - In: Journal of financial econometrics : official journal of … 13 (2015) 4, pp. 757-797
Persistent link: https://www.econbiz.de/10011417704