Statistische Prognosen basieren auf der Annahme, dass ein funktionaler Zusammenhang zwischen der zu prognostizierenden Variable y und anderen j-dimensional beobachtbaren Variablen x = (x1,...xl) besteht. Kann der funktionale Zusammenhang geschätzt werden, so kann im Prinzip für jedes x der...

Filters constructed on the basis of standard local polynomial regression (LPR) methods have been used in the literature to estimate the business cycle. We provide a frequency domain interpretation of the contrast filter obtained by the difference of a series and its long-run LPR component and...

This paper proposes a semiparametric local polynomial estimator for modelling agricultural time-series. We consider the modelling of the crop yield variable according to determined financial risk factors in Turkey. The derivation of a semiparametric local polynomial estimator is provided with...

We consider noisy non-synchronous discrete observations of a continuous semimartingale. Functional stable central limit theorems are established under high-frequency asymptotics in three setups: onedimensional for the spectral estimator of integrated volatility, from two-dimensional asynchronous...