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Plug-in Bandwidth Selection for Kernel Density Estimation with Discrete Data

Chu, Chi-Yang; Henderson, Daniel J.; Parmeter, … - In: Econometrics 3 (2015) 2, pp. 199-214

This paper proposes plug-in bandwidth selection for kernel density estimation with discrete data via minimization of …

Persistent link: https://www.econbiz.de/10011220361

A Simple Deconvolving Kernel Density Estimator when Noise is Gaussian

Proenca, Isabel - EconWPA - 2005

Deconvolving kernel estimators when noise is Gaussian entail heavy calculations. In order to obtain the density … estimates numerical evaluation of a specific integral is needed. This work proposes an approximation to the deconvolving kernel … the lost in performance relatively to the true deconvolving kernel, is almost negligible in finite samples. …

Persistent link: https://www.econbiz.de/10005062537

Nonparametric Regression Estimation for Multivariate Null Recurrent Processes

Cai, Biqing; Tjøstheim, Dag - In: Econometrics 3 (2015) 2, pp. 265-288

This paper discusses nonparametric kernel regression with the regressor being a \(d\)-dimensional \(\beta …

Persistent link: https://www.econbiz.de/10011254954

Modeling and testing smooth structural changes with endogenous regressors

Chen, Bin - In: Journal of Econometrics 185 (2015) 1, pp. 196-215

Modeling and detecting parameter stability of econometric models is a long standing problem. Most existing estimation and testing methods are designed for models without endogeneity. Little attention has been paid to models with endogeneous regressors, which may arise in many scenarios in...

Persistent link: https://www.econbiz.de/10011190710

Linking series generated at different frequencies and its applications

Hyung, Namwon - 1998

This paper systematically studies the use of mixed-frequency data sets and suggests that the use of high frequency data in forecasting economic aggregates can improve forecast accuracy. The best way of using this information is to build a single model, for example, an ARMA model with missing...

Persistent link: https://www.econbiz.de/10010301743

Long-range dependence in returns and volatility of Central European Stock indices

Krištoufek, Ladislav - 2010

In the paper, we research on the presence of long-range dependence in returns and volatility of BUX, PX and WIG between years 1997 and 2009 with use of classical and modified rescaled range. Moving block bootstrap with pre-whitening and postblackening is used for the construction of confidence...

Persistent link: https://www.econbiz.de/10010322268

Assessing temporal trends and industry contributions to air and water pollution using stochastic dominance

Agliardi, Elettra; Pinar, Mehmet; Stengos, Thanasis - 2014

We employ a stochastic dominance (SD) approach to analyze the components that contribute to environmental degradation over time. The variables that are considered include countries' greenhouse gas (GHG) emissions and water pollution. Our approach is based on pair-wise SD tests. First, we study...

Persistent link: https://www.econbiz.de/10011651872

Gas storage valuation and hedging: A quantification of model risk

Hénaff, Patrick; Laachir, Ismail; Russo, Francesco - In: International Journal of Financial Studies 6 (2018) 1, pp. 1-27

This paper focuses on the valuation and hedging of gas storage facilities, using a spot-based valuation framework coupled with a financial hedging strategy implemented with futures contracts. The contributions of this paper are two-fold. Firstly, we propose a model that unifies the dynamics of...

Persistent link: https://www.econbiz.de/10011996092

How informative is high-frequency data for tail risk estimation and forecasting? An intrinsic time perspectice

Halbleib, Roxana; Dimitriadis, Timo - 2019

This paper proposes a novel and simple approach to compute daily Value at Risk (VaR) and Expected Shortfall (ES) directly from high-frequency data. It assumes that financial logarithm prices are subordinated unifractal processes in the intrinsic time, which stochastically transforms the clock...

Persistent link: https://www.econbiz.de/10012099231

Univariate Weibull Distributions and Their Applications

Jurić, Višnja - 2017

The aim of the paper is to bring out the short and concise review of the Univariate Weibull distributions along with their properties. The area of applications is emphasized at the end of the sections.

Persistent link: https://www.econbiz.de/10011920422

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