2005 年7 月21 日,...

In this study, we use both parametric and non-parametric methods to test the property of martingale restriction in KOSPI 200 index options market. Our results provide strong evidence that the property is violated. Further regression analysis and robustness checks suggest that market friction...

在利用中国å„ç§å®è§‚和金èžæ•°æ®çš„实è¯ç ”究和政策分æžä¸­ï¼Œå‘é‡è‡ªå›žå½’模型（Vector Autoregression,...

Given a nonparametric regression model, we assume that the number of covariates $d\rightarrow\infty$ but only some of these covariates are relevant for the model. Our goal is to identify the relevant covariates and to obtain some information about the structure of the model. We propose a new...

The local polynomial estimator is particularly affected by the curse of dimensionality. So, the potentialities of such a tool become ineffective for large dimensional applications. Motivated by this, we propose a new estimation procedure based on the local linear estimator and a nonlinearity...

Son yıllarda ham petrol fiyatlarında gerçekleşen yükselişler bu piyasaların daha iyi anlaşılmasını gerekli kılmış, ekonomik birimlerin daha iyi tahminlere ulaşabilmek için çaba sarf etmesine neden olmuştur. Vadeli sözleşmelerin ise bu amaç için en çok başvurulan araç...

In this study, we conducted a research as to whether splits in shares on the ISE-ON Index at the Istanbul Stock Exchange have had an impact on returns generated from shares between 2005 and 2011 or not using event study method. This study is based on parametric tests, as well as on nonparametric...

We study a general class of semiparametric estimators when the innite-dimensional nuisance parameters include a conditional expectation function that has been estimated nonparametri- cally using generated covariates. Such estimators are used frequently to e.g. estimate nonlinear models with...

Decision making can be a complex process requiring the integration of several attributes of choice options. Understanding the neural processes underlying (uncertain) investment decisions is an important topic in neuroeconomics. We analyzed functional magnetic resonance imaging (fMRI) data from...

A tanulmány szerzője egy új, nem paraméteres eljárás (OCRA) alkalmazási lehetőségeit mutatja be. A húsipar tartósnak tűnő hatékonysági és versenyképességi problémái különösen indokolttá teszik, hogy új eljárás segítségével a működési versenyképesség fogalmát...