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Bayesian Inference and Prediction of a Multiple-Change-Point Panel Model with Nonparametric Priors
Fisher, Mark - 2020
extend the change point model to a multiple-change-point panel model. The hierarchical prior then shares in the cross …-sectional information of the break processes to estimate the transition probabilities. We apply our multiple-change-point panel model to a …
Persistent link: https://www.econbiz.de/10012852769
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Value-at-risk and expected shortfall when there is long range dependence
Härdle, Wolfgang (contributor); Mungo, Julius (contributor) - 2008
portfolio (Bayer, Siemens and Volkswagen). Classical V aR estimation methodology such as exponential moving average (EMA) as …
Persistent link: https://www.econbiz.de/10003636008
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Nonparametric regression on latent covariates with an application to semiparametric GARCH-in-Mean models
Conrad, Christian; Mammen, Enno - 2008
kernel smoothing of the conditional mean function. An asymptotic theory for the resulting kernel estimator is developed and …
Persistent link: https://www.econbiz.de/10003747376
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Kernel-Smoothed Conditional Quantiles of Correlated Bivariate Discrete Data
De Gooijer, Jan G. - 2011
from this basic requirement by presenting an algorithm for nonparametric estimation of conditional quantiles when both the … both estimators. A practical procedure for jointly selecting band- and binwidth parameters is also presented. Simulation … results show excellent estimation accuracy in terms of bias, mean squared error, and confidence interval coverage. Typically …
Persistent link: https://www.econbiz.de/10013131387
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Volatility transmission across financial markets : a semiparametric analysis
Kolaiti, Theoplasti; Mboya, Mwasi; Sibbertsen, Philipp - In: Journal of risk and financial management : JRFM 13 (2020) 8/160, pp. 1-13
This paper revisits the question whether volatilities of different markets and trading zones have a long-run equilibrium in the sense that they are fractionally cointegrated. We consider the U.S., Japanese and German stock, bond and foreign exchange markets to see whether there is fractional...
Persistent link: https://www.econbiz.de/10012322368
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Simultaneously modelling conditional heteroskedasticity and scale change
Feng, Yuanhua - 2002
Persistent link: https://www.econbiz.de/10001686434
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Cross-Country Output Convergence and Growth : Evidence from Varying Coefficient Nonparametric Method
Li, Kui-Wai - 2016
This article uses a nonparametric varying coefficient panel data model to study the convergence of real GDP per capita … among 120 world economies for the sample period of 1980-2010. The estimates show that the indirect contribution of initial …
Persistent link: https://www.econbiz.de/10012999621
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Do long-memory GARCH-type-value-at-risk models outperform none-and semi-parametric value-at-risk models?
Buberkoku, Onder - In: International Journal of Energy Economics and Policy : IJEEP 9 (2019) 2, pp. 199-215
Persistent link: https://www.econbiz.de/10012027037
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Backtesting global growth-at-Risk
Brownlees, Christian; Souza, André B. M. - In: Journal of monetary economics 118 (2021), pp. 312-330
Persistent link: https://www.econbiz.de/10012603779
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The Effects of Openness and Indigeneity on Growth : Evidence from Nonparametric Panel Data Model with Two-Way Random Effect
Zhou, Xianbo - 2015
This paper contributes to the globalization debate by studying the overall effect on growth of openness and indigenous factors. The empirical results show that the openness factors averagely promote growth whereas the indigeneity factors have a negative effect on growth. The conclusion is robust...
Persistent link: https://www.econbiz.de/10013012045