This paper considers sampling in proportion to size from a partly unknown distribution. The applied context is the exploration for undiscovered resources, like oil accumulations in different deposits, where the most promising deposits are likely to be drilled first, based on some geologic size...

Value-at-Risk (VaR) has become a standard measure for risk management and regulation. In the case of a two-parameter distribution, a common method among practitioners is first to calculate the daily VaR and then to apply it to a longer investment horizon by using the Square Root Rule (SRR). We...

This article picks up the discussion on semi- and nonparametric generalized structured models by Mammen amp; Nielsen (2003). We introduce a general feasible estimator based on weighted smooth backfitting that can be used not only for most of the therein presented models. Moreover, we give...

This empirical study proposes a dependency analysis of monthly financial time series. We use the overlapping technique and non-parametric correlation in order to increase both accuracy and consistency. Copulas are used to test extreme co-movements between financial securities. Our results...

We propose an easily implementable test of the validity of a set of theoretical restrictions on the relationship between economic variables, which do not necessarily identify the data generating process. The restrictions can be derived from any model of interactions, allowing censoring and...

Purpose - The purpose of this study is to show that closure-based classification and regression models provide both high accuracy and interpretability. Design/methodology/approach - Pattern structures allow one to approach the knowledge extraction problem in case of partially ordered...

High-dimensional sparse precision matrix estimation is a ubiquitous task in multivariate analysis with applications that cross many disciplines. In this paper, we introduce the SQUIC package, which benefits from superior runtime performance and scalability, significantly exceeding the available...

We propose a novel estimation procedure of bid-ask spreads from open, high, low, and close prices. Our estimator is asymptotically unbiased and optimally combines the full set of price data to minimize the estimation variance. When quote data are not available, our estimator generally delivers...

The English version of this paper can be found at http://ssrn.com/abstract=3858991Spanish Abstract: En el último año, el aumento del uso de instrumentos derivados, aunado a las importantes pérdidas que han reportado empresas e instituciones financieras, han hecho saltar las alarmas sobre el...

La versión española de este artículo se puede encontrar en: http://ssrn.com/abstract=3858999During the last years, there has been an increase in the use of derivative instruments, in addition to significant losses reported by companies and financial institutions, putting the appropriate use...