Search Results - subject:"Kernel"

A comprehensive exploration of complete cross-validation for circular data

Hasilová, Kamila; Horová, Ivana; Vališ, David; … - In: Statistics in transition : an international journal of … 25 (2024) 3, pp. 1-12

Kernel density estimation of circular data has recently received considerable attention for its ability to model and …-driven bandwidth selectors in circular kernel density estimation. We propose a novel circular-specific method that is based on a … crossvalidation procedure with a von Mises density used as a kernel function. Using simulated data as well as real-world circular …

Persistent link: https://www.econbiz.de/10015127208

A reproducing kernel Hilbert space approach to singular local stochastic volatility McKean-Vlasov models

Bayer, Christian; Belomestny, Denis; Butkovsky, Oleg; … - In: Finance and stochastics 28 (2024) 4, pp. 1147-1178

Persistent link: https://www.econbiz.de/10015130558

Volatility-dependent probability weighting and the dynamics of the pricing kernel puzzle

Dierkes, Maik; Krupski, Jan; Schroen, Sebastian; … - In: Review of derivatives research 27 (2024) 1, pp. 1-35

Persistent link: https://www.econbiz.de/10015133906

Nonparametric testing for information asymmetry in the mortgage servicing market

Jedidi, Helmi; Dionne, Georges - In: Risks : open access journal 12 (2024) 12, pp. 1-36

Our objective is to test for evidence of information asymmetry in the mortgage servicing market. Does the sale of mortgage servicing rights (MSR) by the initial lender to a second servicing institution unveil any residual asymmetric information? We are the first to analyze the originator's...

Persistent link: https://www.econbiz.de/10015327697

Robots and extensive margins of exports : evidence for manufacturing firms from 27 EU countries

Wagner, Joachim - 2024 - This version: January 29, 2024

new machine-learning estimator, Kernel-Regularized Least Squares (KRLS), we find that firms which use robots do more often …

Persistent link: https://www.econbiz.de/10014477729

Estimation of empirical models for margins of exports with unknown nonlinear functional forms : a Kernel-Regularized Least Squares (KRLS) approach

Wagner, Joachim - 2024 - This version: January 17, 2024

for the first time the Kernel-Regularized Least Squares (KRLS) estimator to deal with this issue in empirical models for …

Persistent link: https://www.econbiz.de/10014464962

Schätzung regionaler Einkommensindikatoren unter Transformationen in Abwesenheit von Populations-Mikrodaten

Würz, Nora - In: Wirtschaft und Statistik : WISTA (2024) 2, pp. 107-116

in this article is based on kernel density estimation. It is applied to data from the Socio-Economic Panel 2011 to …

Persistent link: https://www.econbiz.de/10014526620

Simple estimation of semiparametric models with measurement errors

Evdokimov, Kirill S.; Zeleneev, Andrei - 2024 - This version: March 15, 2024

We develop a practical way of addressing the Errors-In-Variables (EIV) problem in the Generalized Method of Moments (GMM) framework. We focus on the settings in which the variability of the EIV is a fraction of that of the mismeasured variables, which is typical for empirical applications. For...

Persistent link: https://www.econbiz.de/10014513441

Sharing model uncertainty

Hara, Chiaki; Mukerji, Sujoy; Riedel, Frank; Tallon, … - 2024

Persistent link: https://www.econbiz.de/10014537225

Econometric identification of the attainable maximal sharpe ratio by optimal shrinkage of the cross-section of asset returns

Chen, Yuting; Potì, Valerio - In: Economics letters 235 (2024), pp. 1-4

Persistent link: https://www.econbiz.de/10015071365