Search Results - subject:"cubic splines"

Natural cubic spline approximation of risk-neutral density

Zhou, Shuang; Jiang, Liyuan; Li, Keren; Wang, Fangfang; … - 2024

method for estimating the risk-neutral density using natural cubic splines (NCS). The estimated density is twice continuously …

Persistent link: https://www.econbiz.de/10015337749

Time-varying state correlations in state space models and their estimation via indirect inference

Schiavoni, Caterina; Koopman, Siem Jan; Palm, Franz; … - 2021

employs cubic splines for the auxiliary model, and a bootstrap filter method to estimate the time-varying correlation together …

Persistent link: https://www.econbiz.de/10012605986

Time-varying state correlations in state space models and their estimation via indirect inference

Schiavoni, Caterina; Koopman, Siem Jan; Palm, Franz C.; … - 2021

employs cubic splines for the auxiliary model, and a bootstrap filter method to estimate the time-varying correlation together …

Persistent link: https://www.econbiz.de/10012434085

Time-varying state correlations in state space models and their estimation via indirect inference

Schiavoni, Caterina; Koopman, Siem Jan; Palm, Franz C.; … - 2021

Persistent link: https://www.econbiz.de/10012436055

A Permutation Test and Estimation Alternatives for the Regression Kink Design

Ganong, Peter; Jäger, Simon - 2014

and a Difference-in-Difference study. Finally, we propose estimating RK models with a modified cubic splines framework and …

Persistent link: https://www.econbiz.de/10010398301

A Permutation Test and Estimation Alternatives for the Regression Kink Design

Ganong, Peter; Jäger, Simon - Institute for the Study of Labor (IZA) - 2014

and a Difference-in-Difference study. Finally, we propose estimating RK models with a modified cubic splines framework and …

Persistent link: https://www.econbiz.de/10010790521

A permutation test and estimation alternatives for the Regression Kink design

Ganong, Peter; Jäger, Simon - 2014

and a Difference-in-Difference study. Finally, we propose estimating RK models with a modified cubic splines framework and …

Persistent link: https://www.econbiz.de/10010379273

What Determines the Duration of a Fiscal Consolidation Program?

Agnello, Luca; Castro, Vitor; Sousa, Ricardo M. - Grupo de Estudos Monetários e Financeiros (GEMF), … - 2013

flexible polynomial-in-time, time-dummies and cubic-splines specifications suggest that the hazard function is not monotonic …

Persistent link: https://www.econbiz.de/10010834022

What determines the duration of a fiscal consolidation program?

Agnello, Luca; Castro, Vítor; Sousa, Ricardo M. - Núcleo de Investigação em Políticas Económicas … - 2012

This paper assesses the determinants of the length of fiscal consolidation using annual data for 17 industrial countries over the period 1978-2009. Relying on a narrative approach to identify fiscal consolidation episodes, we show that fiscal variables (such as the budget deficit and the level...

Persistent link: https://www.econbiz.de/10010897781

Intraday Seasonality in Analysis of UHF Financial Data: Models and Their Empirical Verification

Huptas, Roman - In: Dynamic Econometric Models 9 (2009), pp. 128-138

two nonparametric estimation methods: cubic splines and a Nadaraya-Watson kernel estimator of regression. Both approaches …

Persistent link: https://www.econbiz.de/10009001680