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Nonparametric tail risk, stock returns and the macroeconomy

Almeida, Caio; Ardison, Kym; Garcia, René; Vicente, … - 2016

Persistent link: https://www.econbiz.de/10011458735

Comments on: Nonparametric tail risk, stock returns and the macroeconomy

Camponovo, Lorenzo; Scaillet, Olivier; Trojani, Fabio - 2016

Persistent link: https://www.econbiz.de/10011518800

Identification of ex ante returns using elicited choice probabilities

Méango, Romuald - 2023

Persistent link: https://www.econbiz.de/10014250393

Benchmarking collateral of triple-a rated securities

Sarmiento, Camilo - In: Applied economics letters 27 (2020) 7, pp. 555-558

Persistent link: https://www.econbiz.de/10012205727

Sample out-of-sample inference based on Wasserstein distance

Blanchet, Jose; Kang, Yang - In: Operations research 69 (2021) 3, pp. 985-1013

Persistent link: https://www.econbiz.de/10012546913

Adaptive Bayesian estimation of mixed discrete-continuous distributions under smoothness and sparsity

Norets, Andriy; Pelenis, Justinas - 2018

We consider nonparametric estimation of a mixed discrete-continuous distribution under anisotropic smoothness … derive lower bounds on the estimation rates in the total variation distance. Next, we consider a nonparametric mixture of … normals models can be used for optimal adaptive estimation of mixed discretecontinuous distributions. …

Persistent link: https://www.econbiz.de/10011895828

Semiparametric estimation of default probability : evidence from the Prosper online credit market

Li, Xiaofeng; Shang, Ying; Su, Zhi - In: Economics letters 127 (2015), pp. 54-57

Persistent link: https://www.econbiz.de/10011382869

Empirical likelihood

Owen, Art B. - 2001

Persistent link: https://www.econbiz.de/10001574339

Vectors of two-parameter Poisson-Dirichlet processes

Leisen, Fabrizio; Lijoi, Antonio - 2010

The definition of vectors of dependent random probability measures is a topic of interest in applications to Bayesian statistics. They, indeed, represent dependent nonparametric prior distributions that are useful for modelling observables for which specific covariate values are known. In this...

Persistent link: https://www.econbiz.de/10010343891

First passage times in portfolio optimization : a novel nonparametric approach

Zsurkis, Gabriel; Nicolau, João; Rodrigues, Paulo M. M. - In: European journal of operational research : EJOR 312 (2024) 3, pp. 1074-1085

Persistent link: https://www.econbiz.de/10014456467

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