particular, we propose to test the Environmental Kuznets Curve (EKC) hypothesis for a panel of 24 OECD countries and 32 non …-OECD countries by developing a more flexible estimation technique which enables to account for functional form misspecification … semiparametric panel data model. Our results corroborates that the nature and validity of the income–pollution relationship based on …

orhistorical and Monte Carlo simulation methods. Although these approaches to overall VaR estimation have receivedsubstantial … the underlying statistical distributions, a variety of analyticalmethods and simulation-based methods are available. Aside … and incremental VaR in either a non-normal analytical setting or a MonteCarlo / historical simulation context.This paper …

when estimating error quantiles. In order to prevent this efficiency loss in quantile estimation, we propose a quantile …. At the same time, the efficiency gain in error quantile estimation hinges on the efficiency of estimators of the variance … parameters. We show that the same conclusion applies to the estimation of conditional Expected Shortfall. Our comparison also …

In this paper, we propose a two-step less volatile value-at-risk (LVaR) estimation using the generalized nearly …-isotonic regression (GNIR) model. The first step of our LVaR estimation is to produce a VaR sequence under the generalized autoregressive …

develop a simulation-based posterior sampling algorithm specifically addressing the nonparametric density estimation of …This paper constructs individual-specific density forecasts for a panel of firms or households using a dynamic linear … model with common and heterogeneous coefficients and cross-sectional heteroskedasticity. The panel considered in this paper …

simulation-based posterior sampling algorithm specifically addressing the nonparametric density estimation of unobserved …This paper constructs individual-specific density forecasts for a panel of firms or households using a dynamic linear … model with common and heterogeneous coefficients and cross-sectional heteroskedasticity. The panel considered in this paper …

This paper constructs individual-specific density forecasts for a panel of firms or households using a dynamic linear … model with common and heterogeneous coefficients and cross-sectional heteroskedasticity. The panel considered in this paper …. Methodologically, I develop a simulation-based posterior sampling algorithm specifically addressing the nonparametric density …

In this paper new semiparametric GARCH models with long memory are introduced. The estimation of the nonparametric …

models describe mappings from a latent distribution to an observed distribution. The identification and estimation of … heterogeneity or unobserved state variables and panel data models with fixed effects. Recent developments in measurement error …