This paper introduces a multivariate kernel based forecasting tool for the prediction of variance-covariance matrices of stock returns. The method introduced allows for the incorporation of macroeconomic variables into the forecasting process of the matrix without resorting to a decomposition of...

Gaussian mixtures (i.e. linear combinations of multivariate Gaussian probability densities) appear in numerous applications due to their universal ability to approximate multimodal probability distributions. Finding the modes (maxima) of a Gaussian mixture is a fundamental problem arising in...

On the one hand, kernel density estimation has become a common tool for empirical studies in any research area. This goes hand in hand with the fact that this kind of estimator is now provided by many software packages. On the other hand, since about three decades the discussion on bandwidth...

This paper proposes a computational-statistics based approach for solar radiation reconstruction at sub-hourly intervals. A dimensionless form of stochastic variable, V, which is defined as the difference between the theoretical global solar radiation in clear-sky conditions and the actual solar...

This paper examines how living standards in India have improved over two decades, focusing on the distribution of household-level consumption expenditures. The analysis is conducted using the DiNardo-Fortin-Lemieux (DFL) semi-parametric decomposition method. This method offers two desirable...

El objetivo del presente documento es presentar un diagnóstico de los aspectos socioeconómicos más importantes de la capital, principalmente en la primera década del siglo XXI. Bogotá se ha consolidado como la metrópoli más exitosa del país en varios aspectos, que pueden ser resumidos en...

Using a 1995–2004 panel data of Chinese urban residents, we investigate the dynamics of income distribution in cities. According to Kernel estimates of the relative income distribution of Chinese cities, we find that: (1) the national across-city distribution of per capita GDP exhibits an...