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Persistent link: https://www.econbiz.de/10003375845

Estimation of stochastic volatility models by nonparametric filtering

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Asymptotic properties of penalized spline estimators

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Are short term stock asset returns predictable? : an extended empirical analysis

Mazzoni, Thomas - 2010

Persistent link: https://www.econbiz.de/10003977437

Nonparametric estimation of risk-neutral densities

Grith, Maria; Härdle, Wolfgang; Schienle, Melanie - 2010

This chapter deals with nonparametric estimation of the risk neutral density. We present three different approaches … conditional on the physical measure of the underlying asset. Via direct series type estimation of the pricing kernel we can derive …

Persistent link: https://www.econbiz.de/10003953034

Semiparametric efficient estimation for incomplete longitudinal binary data, with application to smoking trends

Perin, Jamie; Preisser, John S.; Rathouz, Paul J. - In: Journal of the American Statistical Association : JASA 104 (2009) 488, pp. 1373-1484

Persistent link: https://www.econbiz.de/10003992956

Semiparametric estimation of locally stationary diffusion models

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Three essays on dynamic economics

Hashimzade, Nigar - 2003

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Semiparametric approaches to the prediction of conditional correlation matrices in finance

Golosnoy, Vasyl (contributor); Herwartz, Helmut (contributor) - 2006

We consider the problem of ex-ante forecasting conditional correlation patterns using ultra high frequency data. Flexible semiparametric predictors referring to the class of dynamic panel and dynamic factor models are adopted for daily forecasts. The parsimonious set up of our approach allows to...

Persistent link: https://www.econbiz.de/10003516408

Multiple local whittle estimation in stationary systems

Robinson, Peter M. (contributor) - 2007

Persistent link: https://www.econbiz.de/10003563503