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In this selective review, we first provide some empirical examples that motivate the usefulness of semi-nonparametric techniques in modelling economic and financial time series. We describe popular classes of semi-nonparametric dynamic models and some temporal dependence properties. We then...
Persistent link: https://www.econbiz.de/10013124712
In this selective review, we first provide some empirical examples that motivate the usefulness of semi-nonparametric techniques in modelling economic and financial time series. We describe popular classes of semi-nonparametric dynamic models and some temporal dependence properties. We then...
Persistent link: https://www.econbiz.de/10009230387
We develop methods of non-parametric estimation for the Expected Shortfall of possibly heavy tailed asset returns that leads to asymptotically standard inference. We use a tail-trimming indicator to dampen extremes negligibly, ensuring standard Gaussian inference, and a higher rate of...
Persistent link: https://www.econbiz.de/10013090751
The Polynomial Chaos Expansion (PCE) technique recovers a finite second order random variable exploiting suitable linear combinations of orthogonal polynomials which are functions of a given stochastic quantity $\xi$, hence acting as a kind of random basis. The PCE methodology has been developed...
Persistent link: https://www.econbiz.de/10013018868
By noting that the Hodrick-Prescott filter can be expressed as the solution to a particular regression problem, we are able to show how to construct confidence bands for the filtered time-series. This procedure requires that the data are stationary. The construction of such confidence bands is...
Persistent link: https://www.econbiz.de/10014170107
In this paper we consider the asymptotic distribution of S -estimators in the nonlinear regression model with long-memory error terms. S - estimators are robust estimates with a high breakdown point and good asymptotic properties in the i.i.d case. They are constructed for linear regression. In...
Persistent link: https://www.econbiz.de/10009792344
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