Search Results - subject:"Basis functions"

The fractional step method versus the radial basis functions for option pricing with correlated stochastic processes

Kagraoka, Yusho - In: International Journal of Financial Studies : open … 8 (2020) 4/77, pp. 1-13

. This study applies the fractional step method and the radial basis functions to solve a PDE with a mixed derivative, and … step method calculates the option premium more accurately and much faster than the radial basis functions. Therefore, from … the numerical experiments, this study concludes that the fractional step method is more appropriate than the radial basis …

Persistent link: https://www.econbiz.de/10012372986

A uniformly valid test for instrument exogeneity

Dovonon, Prosper; Gospodinov, Nikolaj - 2025

This paper studies the limiting behavior of the test for instrument exogeneity in linear models when there is uncertainty about the strength of the identification signal. We consider the test for conditional moment restrictions with an expanding set of constructed instruments. We establish the...

Persistent link: https://www.econbiz.de/10015460258

A jackknife variance estimator for panel regressions

Crump, Richard K.; Gospodinov, Nikolaj; Lopez Gaffney, … - 2025

orthonormal trigonometric basis functions. We prove the asymptotic validity of our variance estimator and demonstrate desirable …

Persistent link: https://www.econbiz.de/10015189307

Application of the radial basis function in solving an operational risk management model : investigating the probability of bank survival with risk reserves

Rasouli, Mansoureh; Fariborzi Araghi, Mohammad Ali; … - In: The journal of operational risk 18 (2023) 2, pp. 59-76

Persistent link: https://www.econbiz.de/10014490095

A simple diagnostic for time-series and panel-data regressions

Crump, Richard K.; Gospodinov, Nikolaj; Lopez Gaffney, … - 2024

We introduce a new regression diagnostic, tailored to time-series and panel-data regressions, which characterizes the sensitivity of the OLS estimate to distinct time-series variation at different frequencies. The diagnostic is built on the novel result that the eigenvectors of a random walk...

Persistent link: https://www.econbiz.de/10015084320

A least-squares Monte Carlo approach to the estimation of enterprise risk

Ha, Hongjun; Bauer, Daniel - In: Finance and stochastics 26 (2022) 3, pp. 417-459

Persistent link: https://www.econbiz.de/10013440231

Bayesian inference for regression copulas

Smith, Michael S.; Klein, Nadja - In: Journal of business & economic statistics : JBES ; a … 39 (2021) 3, pp. 712-728

Persistent link: https://www.econbiz.de/10012587971

A jackknife variance estimator for panel regressions

Crump, Richard K.; Gospodinov, Nikolaj; Lopez Gaffney, … - 2024

orthonormal trigonometric basis functions. We prove the asymptotic validity of our variance estimator and demonstrate desirable …

Persistent link: https://www.econbiz.de/10015084323

A simple diagnostic for time-series and panel-data regressions

Crump, Richard K.; Gospodinov, Nikolaj; Lopez Gaffney, … - 2024

Persistent link: https://www.econbiz.de/10015189256

Numerical simulation and applications of the convection-diffusion-reaction equation with the radial basis function in a finite-difference mode

Mollapourasl, Reza; Haghi, Majid; Heryudono, Alfa - In: The journal of computational finance 23 (2020) 5, pp. 33-73

Persistent link: https://www.econbiz.de/10012295864