Search Results - subject:"Kernel"

Do high local customer and supply densities foster firm growth?

Behr, Andreas; Schiwy, Christoph; Hong, Lucy - In: Review of Regional Research 43 (2023) 2, pp. 265-289

limited insights into the existence and effects of agglomeration on growth at the firm-level. We use kernel density estimation …

Persistent link: https://www.econbiz.de/10015113080

Implied volatility surfaces: a comprehensive analysis using half a billion option prices

Ulrich, Maxim; Zimmer, Lukas; Merbecks, Constantin - In: Review of Derivatives Research 26 (2023) 2, pp. 135-169

-dimensional kernel smoother by OptionMetrics (IvyDB US file and data reference manual, version 5.2, Rev. 01/27/2022, Computer software … refined one-dimensional kernel smoother reveals the distinct superiority of the latter. This method consistently outperforms … skewness spanning induced by the noise-infused three-dimensional kernel smoother, which could potentially mislead derivative …

Persistent link: https://www.econbiz.de/10015179572

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

Dierkes, Maik; Krupski, Jan; Schroen, Sebastian; … - In: Review of Derivatives Research 27 (2023) 1, pp. 1-35

aversion related to probability weighting, we shed further light on the pricing kernel puzzle. While pricing kernels estimated …

Persistent link: https://www.econbiz.de/10015188360

Markovian approximations of stochastic Volterra equations with the fractional kernel

Bayer, Christian; Breneis, Simon - In: Quantitative finance 23 (2023) 1, pp. 53-70

Persistent link: https://www.econbiz.de/10013490954

Optimal Inference for Spot Regressions

Bollerslev, Tim; Li, Jia; Ren, Yuexuan - 2023

Betas from return regressions are commonly used to measure systematic financial market risks. "Good" beta measurements are essential for a range of empirical inquiries in finance and macroeconomics. We introduce a novel econometric framework for the nonparametric estimation of time-varying betas...

Persistent link: https://www.econbiz.de/10014354368

Do high local customer and supply densities foster firm growth?

Behr, Andreas; Schiwy, Christoph; Hong, Lucy - In: Review of regional research : a publication of the … 43 (2023) 2, pp. 265-289

Persistent link: https://www.econbiz.de/10014426482

One-step nonparametric instrumental regression using smoothing splines

Beyhum, Jad; Lapenta, Elia; Lavergne, Pascal - 2023

Persistent link: https://www.econbiz.de/10014364170

Hybridizing adaptive large neighborhood search with Kernel search : a new solution approach for the nurse routing problem with incompatible services and minimum demand

Gobbi, Alessandro; Manerba, Daniele; Mansini, Renata; … - In: International transactions in operational research : a … 30 (2023) 1, pp. 8-38

Persistent link: https://www.econbiz.de/10013415873

A hybrid neural network and optimization algorithm for forecasting and trend detection of Forex market indices

Perla, Someswari; Bisoi, Ranjeeta; Dash, P. K. - In: Decision analytics journal 6 (2023), pp. 1-16

stacking several AEs. This paper presents a novel hybrid stacked Autoencoder-based Deep Kernel-based Random Vector Functional …-AE), using a wavelet kernel function with strong data fitting capability based on Mercer's condition. A modified metaheuristic … Water Cycle Algorithm is used to optimize the wavelet kernel parameters and provide DKRVFLN-AE a better generalization and …

Persistent link: https://www.econbiz.de/10014506454

How to predict the performance of NBA draft prospects

Czasonis, Megan; Kritzman, Mark; Kulasekaran, Cel; … - 2023 - This version November 27, 2023

Persistent link: https://www.econbiz.de/10014464533