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Uniform confidence bands for pricing kernels
Härdle, Wolfgang Karl; Okhrin, Yarema; Wang, Weining - 2010
Pricing kernels implicit in option prices play a key role in assessing the risk aversion over equity returns. We deal … with nonparametric estimation of the pricing kernel (Empirical Pricing Kernel) given by the ratio of the risk … testing parametric specifications of pricing kernels and has a direct extension to estimating risk aversion patterns. The …
Persistent link: https://www.econbiz.de/10010270732
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The stochastic fluctuation of the quantile regression curve
Härdle, Wolfgang Karl; Song, Song - 2008
Let (X1, Y1), . . ., (Xn, Yn) be i.i.d. rvs and let l(x) be the unknown p-quantile regression curve of Y on X. A quantile-smoother ln(x) is a localised, nonlinear estimator of l(x). The strong uniform consistency rate is established under general conditions. In many applications it is necessary...
Persistent link: https://www.econbiz.de/10010274144
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Mean volatility regressions
Lin, Lu; Li, Feng; Zhu, Lixing; Härdle, Wolfgang Karl - 2010
pricing with both risk free asset and risky security, we propose a class of semiparametric regressions for a combination of a …
Persistent link: https://www.econbiz.de/10010281538
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Local quantile regression
Härdle, Wolfgang Karl; Spokoiny, Vladimir; Wang, Weining - 2010
are offered and applications to stock market and weather analysis are presented. …
Persistent link: https://www.econbiz.de/10010281556
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A confidence corridor for expectile functions
Duran, Esra Akdeniz; Guo, Mengmeng; Härdle, Wolfgang Karl - 2010
Let (X1, Y1), ..., (Xn, Yn) be i.i.d. rvs and let v(x) be the unknown T-expectile regression curve of Y conditional on X. An expectile-smoother vn(x) is a localized, nonlinear estimator of v(x). The strong uniform consistency rate is established under general conditions. In many applications it...
Persistent link: https://www.econbiz.de/10010281559
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Uniform confidence bands for pricing kernels
Härdle, Wolfgang; Okhrin, Yarema; Wang, Weining - 2010
Pricing kernels implicit in option prices play a key role in assessing the risk aversion over equity returns. We deal … with nonparametric estimation of the pricing kernel (Empirical Pricing Kernel) given by the ratio of the risk … testing parametric specifications of pricing kernels and has a direct extension to estimating risk aversion patterns. The …
Persistent link: https://www.econbiz.de/10003952791
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The stochastic fluctuation of the quantile regression curve
Härdle, Wolfgang (contributor); Song, Song (contributor) - 2008
Persistent link: https://www.econbiz.de/10003693057
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Local quantile regression
Härdle, Wolfgang; Spokojnyj, Vladimir G.; Wang, Weining - 2010
are offered and applications to stock market and weather analysis are presented. -- Conditional Quantiles ;Semiparametric … and Nonparametric Methods ; Asymmetric Laplace Distribution ; Exponential Risk Bounds ; Adaptive Bandwidth Selection …
Persistent link: https://www.econbiz.de/10008772553
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A confidence corridor for expectile functions
Duran, Esra Akdeniz; Guo, Mengmeng; Härdle, Wolfgang - 2010
temperature models to investigate the temperature risk drivers. -- Expectile Regression ; Consistency Rate ; Simultaneous …
Persistent link: https://www.econbiz.de/10008772556
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Mean volatility regressions
Lin, Lu; Li, Feng; Zhu, Lixing; Härdle, Wolfgang - 2010
pricing with both risk free asset and risky security, we propose a class of semiparametric regressions for a combination of a …
Persistent link: https://www.econbiz.de/10008772580