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  • Search: subject:"Kernel smoother"
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Year of publication
Subject
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Kernel smoother 6 Nichtparametrisches Verfahren 5 Additive models 4 Asymptotic properties 4 Dependent data 4 Internalized kernel smoother 4 Local polynomial 4 Nonparametric statistics 4 Oracle efficiency 4 Estimation theory 3 Schätztheorie 3 Time series analysis 3 Zeitreihenanalyse 3 penalised MAMAR 3 principal component analysis 3 semiparametric approximation 3 sure independence screening 3 ultra-high dimensional time series 3 Hauptkomponentenanalyse 2 Implied volatility estimation 2 Prediction accuracy 2 Principal component analysis 2 Single stock options 2 Three-dimensional vs. one-dimensional smoothing 2 Volatility surface construction 2 Aktienoption 1 Black-Scholes model 1 Black-Scholes-Modell 1 Central mean subspace 1 Cross-covariance 1 Derivat 1 Derivative 1 Estimation 1 Forecasting model 1 Local stationarity 1 Matérn 1 Multivariate 1 Nadaraya–Watson kernel smoother 1 Nonlinear time series 1 Nonstationary 1
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Online availability
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Free 9 Undetermined 2
Type of publication
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Book / Working Paper 7 Article 4
Type of publication (narrower categories)
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Working Paper 5 Arbeitspapier 3 Graue Literatur 3 Non-commercial literature 3 Article 1 Article in journal 1 Aufsatz in Zeitschrift 1
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Language
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English 7 Undetermined 4
Author
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Cheng, Yebin 4 Chen, Jia 3 Gooijer, Jan G. De 3 Li, Degui 3 Linton, Oliver 3 Zerom, Dawit 3 Lu, Zu-di 2 Merbecks, Constantin 2 Ulrich, Maxim 2 Zimmer, Lukas 2 Bandyopadhyay, Dipankar 1 Gooijer, Jan G. de 1 Kleiber, William 1 Letourneau, Elizabeth 1 Lu, Zudi 1 Nychka, Douglas 1 Park, Jin-Hong 1 Zerom Godefay, Dawit 1
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Institution
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Tinbergen Institute 1 Tinbergen Instituut 1
Published in...
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Tinbergen Institute Discussion Papers 2 CEMMAP working papers / Centre for Microdata Methods and Practice 1 Computational Statistics & Data Analysis 1 Discussion paper / Tinbergen Institute 1 Discussion papers in economics 1 Journal of Multivariate Analysis 1 Review of Derivatives Research 1 Review of derivatives research 1 Tinbergen Institute Discussion Paper 1 cemmap working paper 1
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Source
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ECONIS (ZBW) 4 RePEc 4 EconStor 3
Showing 1 - 10 of 11
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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
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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) 2/3, pp. 135-169
Persistent link: https://www.econbiz.de/10014423871
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Semiparametric model averaging of ultra-high dimensional time series
Chen, Jia; Li, Degui; Linton, Oliver; Lu, Zudi - 2015
In this paper, we consider semiparametric model averaging of the nonlinear dynamic time series system where the number of exogenous regressors is ultra large and the number of autoregressors is moderately large. In order to accurately forecast the response variable, we propose two semiparametric...
Persistent link: https://www.econbiz.de/10011445777
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Cover Image
Semiparametric model averaging of ultra-high dimensional time series
Chen, Jia; Li, Degui; Linton, Oliver; Lu, Zu-di - 2015
In this paper, we consider semiparametric model averaging of the nonlinear dynamic time series system where the number of exogenous regressors is ultra large and the number of autoregressors is moderately large. In order to accurately forecast the response variable, we propose two semiparametric...
Persistent link: https://www.econbiz.de/10011343005
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Semiparametric model averaging of ultra-high dimensional time series
Chen, Jia; Li, Degui; Linton, Oliver; Lu, Zu-di - 2015
Persistent link: https://www.econbiz.de/10011411616
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Efficient Estimation of an Additive Quantile Regression
Cheng, Yebin; Gooijer, Jan G. De; Zerom, Dawit - 2009
alternative to the method of De Gooijer and Zerom (2003). By making use of an internally normalized kernel smoother, the proposed …
Persistent link: https://www.econbiz.de/10010325913
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Efficient Estimation of an Additive Quantile Regression
Cheng, Yebin; Gooijer, Jan G. De; Zerom, Dawit - Tinbergen Instituut - 2009
alternative to the method of De Gooijer and Zerom (2003). By making use of an internally normalized kernel smoother, the proposed …
Persistent link: https://www.econbiz.de/10011257207
Saved in:
Cover Image
Efficient Estimation of an Additive Quantile Regression
Cheng, Yebin; Gooijer, Jan G. De; Zerom, Dawit - Tinbergen Institute - 2009
alternative to the method of De Gooijer and Zerom (2003). By making use of an internally normalized kernel smoother, the proposed …
Persistent link: https://www.econbiz.de/10008513237
Saved in:
Cover Image
Efficient estimation of an additive quantile regression
Cheng, Yebin; Gooijer, Jan G. de; Zerom Godefay, Dawit - 2009
alternative to the method of De Gooijer and Zerom (2003). By making use of an internally normalized kernel smoother, the proposed …
Persistent link: https://www.econbiz.de/10011379443
Saved in:
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Examining deterrence of adult sex crimes: A semi-parametric intervention time-series approach
Park, Jin-Hong; Bandyopadhyay, Dipankar; Letourneau, … - In: Computational Statistics & Data Analysis 69 (2014) C, pp. 198-207
Motivated by recent developments on dimension reduction (DR) techniques for time-series data, the association of a general deterrent effect with the registration and notification (SORN) policy of South Carolina (SC) for preventing sex crimes was examined. Using adult sex crime arrestee data from...
Persistent link: https://www.econbiz.de/10010709954
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