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Estimating a semi-parametric duration model without specifying heterogeneity

Hausman, Jerry A.; Woutersen, Tiemen - In: Journal of econometrics 178 (2014) 1, pp. 114-131

Persistent link: https://www.econbiz.de/10010255456

Understanding forecast failure of ESTAR models of real exchange rates

Buncic, Daniel - 2009 - This Version : July 23, 2009

exchange rate series over an out-of-sample eval-uation period of nearly 12 years. Point as well as density forecasts are … utilised in the evaluation. Non-parametric methods are used in conjunction with simulation techniques to learn about the models …

Persistent link: https://www.econbiz.de/10011523710

Nonparametric modeling and forecasting electricity demand : an empirical study

Shang, Han Lin - 2010

Persistent link: https://www.econbiz.de/10008759304

Assessing parametric misspecification and heterogeneity in growth regression

Haupt, Harry; Petring, Verena - In: Applied economics letters 18 (2011) 4/6, pp. 389-394

Persistent link: https://www.econbiz.de/10009232987

Nonparametric regression on latent covariates with an application to semiparametric GARCH-in-Mean models

Conrad, Christian; Mammen, Enno - 2008

We consider time series models in which the conditional mean of the response variable given the past depends on latent covariates. We assume that the covariates can be estimated consistently and use an iterative nonparametric kernel smoothing procedure for estimating the conditional mean...

Persistent link: https://www.econbiz.de/10003747376

Specification and structural break tests for additive models with applications to realized variance data

Fengler, Matthias; Mammen, Enno; Vogt, Michael - In: Journal of econometrics 188 (2015) 1, pp. 196-218

Persistent link: https://www.econbiz.de/10011500308

Nonparametric specification testing for continuous-time models with applications to term structure of interest rates

Hong, Yongmiao; Li, Haitao - In: The review of financial studies 18 (2005) 1, pp. 37-84

Persistent link: https://www.econbiz.de/10002646532

Nonparametric specification testing for continuous-time models with application to spot interest rates

Hong, Yongmiao; Li, Haitao - 2002

Persistent link: https://www.econbiz.de/10001684716

Specification testing and nonparametric estimation of the human capital model

Zheng, John Xu - In: Applying Kernel and nonparametric estimation to …, (pp. 129-154). 2000

Persistent link: https://www.econbiz.de/10001548532

Nonparametric Estimation and Parametric Calibration of Time-Varying Coefficient Realized Volatility Models

Chen, Xiangjin Bruce - 2013

evaluation, the nonparametric TVC-HAR model was found to consistently outperform the calibrated TVC-HAR and the simple HAR models …

Persistent link: https://www.econbiz.de/10013076694