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Non-parametric models

Taylor, Greg - 1999

Persistent link: https://www.econbiz.de/10001459611

Estimating economic loss for the multi-product business

Foster, Carroll; Trout, Robert R. - In: Developments in litigation economics, (pp. 307-325). 2005

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Dynamic models

Taylor, Greg - 2000

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Parametric models

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Nonparametric cointegration tests

Bierens, Herman J. - 1994

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Time series modelling with semiparametric factor dynamics

Borak, Szymon; Härdle, Wolfgang; Mammen, Enno; Park, … - 2007

study the dynamics of the whole high-dimensional system with a low-dimensional representation. We illustrate the theory with …

Persistent link: https://www.econbiz.de/10003633687

Long memory persistence in the factor of Implied volatility dynamics

Härdle, Wolfgang (contributor); Mungo, Julius (contributor) - 2007

The volatility implied by observed market prices as a function of the strike and time to maturity form an Implied Volatility Surface (IVS). Practical applications require reducing the dimension and characterize its dynamics through a small number of factors. Such dimension reduction is...

Persistent link: https://www.econbiz.de/10003633787

Model-based estimation of high frequency jump diffusions with microstructure noise and stochastic volatility

Bos, Charles S. - 2008

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On composite marginal likelihoods

Varin, Cristiano - In: Advances in statistical analysis : AStA ; a journal of … 92 (2008) 1, pp. 1-28

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Application of penalized splines method in the credit market

Yao, Zhilin - 2008

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