Narrow search
Showing 1 - 10 of 6,685
Cover Image
Extracting business cycles using semi-parametric time-varying spectra with applications to US macroeconomic time series
Koopman, Siem Jan; Wong, Soon Yip - 2006
A growing number of empirical studies provides evidence that dynamic properties of macroeconomic time series have been changing over time. Model-based procedures for the measurement of business cycles should therefore allow model parameters to adapt over time. In this paper the time dependencies...
Persistent link: https://www.econbiz.de/10011350381
Cover Image
Measuring and modeling risk using high-frequency data
Härdle, Wolfgang (contributor);  … - 2008
Measuring and modeling financial volatility is the key to derivative pricing, asset allocation and risk management … the daily or lower frequency volatility can be obtained by summing over squared high-frequency returns.In turn, this so …-called realized volatility can be used for more accurate model evaluation and description of the dynamic and distributional structure …
Persistent link: https://www.econbiz.de/10003727640
Cover Image
Robust Non-Parametric Quantile Estimation of Efficiency and Productivity Change in U.S. Commercial Banking, 1985-2004
Wheelock, David C.; Wilson, Paul W. - 2007
This paper describes a non-parametric, unconditional, hyperbolic quantile estimator that unlike traditional non-parametric frontier estimators is both robust to data outliers and has a root-n convergence rate. We use this estimator to examine changes in the efficiency and productivity of U.S....
Persistent link: https://www.econbiz.de/10014057323
Cover Image
Measuring and modeling risk using high-frequency data
Härdle, Wolfgang Karl; Hautsch, Nikolaus; Pigorsch, Uta - 2008
Measuring and modeling financial volatility is the key to derivative pricing, asset allocation and risk management … the daily or lower frequency volatility can be obtained by summing over squared high-frequency returns.In turn, this so …-called realized volatility can be used for more accurate model evaluation and description of the dynamic and distributional structure …
Persistent link: https://www.econbiz.de/10010274148
Cover Image
Robust nonparametric estimation of the intensity function of point data
Grillenzoni, Carlo - In: Advances in statistical analysis : AStA ; a journal of … 92 (2008) 2, pp. 117-134
Persistent link: https://www.econbiz.de/10003716611
Cover Image
Errors, robustness, and the fourth quadrant
Taleb, Nassim Nicholas - In: International journal of forecasting 25 (2009) 4, pp. 744-759
Persistent link: https://www.econbiz.de/10003921416
Cover Image
Parametrizing Nonparametric Translog Models : A Goal Programming/Constrained Regression Study of U.S. Manufacturing
Ziari, Houshmand; Azzam, Azzeddine - 1999
This paper demonstrates how Goal Programming/Constrained Regression can be used for cross-checking results from standard econometric models as well as a stand alone methodology in empirical production analysis. For illustration, we re-examine Berndt and Wood's (BW) seminal study of the U.S....
Persistent link: https://www.econbiz.de/10014193098
Cover Image
Dissecting characteristics nonparametrically
Freyberger, Joachim; Neuhierl, Andreas; Weber, Michael - 2017 - This version: February 2017
We propose a nonparametric method to test which characteristics provide independent information for the cross section of expected returns. We use the adaptive group LASSO to select characteristics and to estimate how they affect expected returns nonparametrically. Our method can handle a large...
Persistent link: https://www.econbiz.de/10011619632
Cover Image
Regression-based, regression-free and model-free approaches for robust online scale estimation
Schettlinger, Karen; Gelper, Sarah; Gather, Ursula; … - 2008
Persistent link: https://www.econbiz.de/10003977730
Cover Image
Nonparametric autoregression with multiplicative volatility and additive mean
Yang, Lijian; Härdle, Wolfgang; Nielsen, Jens Perch - 1998
Persistent link: https://www.econbiz.de/10000168636