Search Results - subject:"conditional density"

A test of the feasibility of a common risk accounting metric for enterprise risks

Hughes, Peter; Williams, Julian - In: Journal of risk management in financial institutions 11 (2017/2018) 3, pp. 267-283

Persistent link: https://www.econbiz.de/10011942547

Does heavy-tailedness matter in regime shifts and persistence in volatility estimation? Evidence from six GCC economies

Alfreedi, Ajab A.; Isa, Zaidi; Hassan, Abu - In: Journal of Statistical and Econometric Methods 1 (2012) 1, pp. 111-131

This study examines the regime shifts in volatility in the stock markets of Gulf Cooperation Council (GCC) countries by employing the iterated cumulative sum of squares generalized autoregressive conditional heteroscedasticity (ICSSGARCH) model. Using the weekly data over the period 2003-2010,...

Persistent link: https://www.econbiz.de/10010286832

Bayesian semiparametric regression

Pelenis, Justinas - 2012

We consider Bayesian estimation of restricted conditional moment models with linear regression as a particular example. The standard practice in the Bayesian literature for semiparametric models is to use flexible families of distributions for the errors and assume that the errors are...

Persistent link: https://www.econbiz.de/10010290980

Do maximum waiting times guarantees change clinical priorities? A Conditional Density Estimation approach

Nikolova, Silviya; Sinko, Arthur; Sutton, Matt - Department of Economics and Related Studies, University … - 2012

demonstrate the usefulness of Conditional Density Estimation (CDE) in the evaluation of the reform using data for Scotland for …

Persistent link: https://www.econbiz.de/10011133578

Bayesian Semiparametric Regression

Pelenis, Justinas - Department of Economics and Finance Research and … - 2012

Persistent link: https://www.econbiz.de/10010543598

Disentangling the contemporaneous and dynamic effects of human and health capital on wages over the life cycle

Gilleskie, Donna; Han, Euna; Norton, Edward C. - In: Review of economic dynamics 25 (2017), pp. 350-383

Persistent link: https://www.econbiz.de/10011893776

Smoothed kernel conditional density estimation

Wen, Kuangyu; Wu, Ximing - In: Economics letters 152 (2017), pp. 112-112

Persistent link: https://www.econbiz.de/10011801190

Posterior consistency in conditional density estimation by covariate dependent mixtures

Norets, Andriy; Pelenis, Justinas - 2011

This paper considers Bayesian nonparametric estimation of conditional densities by countable mixtures of location-scale densities with covariate dependent mixing probabilities. The mixing probabilities are modeled in two ways. First, we consider finite covariate dependent mixture models, in...

Persistent link: https://www.econbiz.de/10010290994

Modeling multivariate parametric densities of financial returns (in Russian)

Balaev, Alexey - In: Quantile (2011) 9, pp. 39-60

This paper compares several bivariate conditional density parameterizations for stock market returns in terms of in …-sample fit and out-of-sample predictive ability for the whole conditional density. We consider Skew-Normal, Skew-Student, Skew … conditional density models in sample and out of sample. The models are ranked according to their quality of fit and predictive …

Persistent link: https://www.econbiz.de/10009195298

Multivariate skewed t-distribution with degrees of freedom vector and its application to financial modeling

Balaev, Balaev , Alexey - In: Applied Econometrics 23 (2011) 3, pp. 79-97

A modification of multivariate t-distribution with vector of degrees of freedom is suggested: multivariate t-distribution with vector of skewness parameters and vector of degrees of freedom is introduced. A special case of this distribution is already known multivariate skew t-distribution with...

Persistent link: https://www.econbiz.de/10009292419