Search Results - subject:"kernel method" - EconBiz

Stressed portfolio optimization with semiparametric method

Han, Chuan-Hsiang; Wang, Kun - In: Financial innovation : FIN 8 (2022), pp. 1-34

Tail risk is a classic topic in stressed portfolio optimization to treat unprecedented risks, while the traditional mean-variance approach may fail to perform well. This study proposes an innovative semiparametric method consisting of two modeling components: the nonparametric estimation and...

Persistent link: https://www.econbiz.de/10013170237

Hedging downside risk in agricultural commodities : a novel nonparametric Kernel method

Jiang, Qi; Fan, Yawen - In: Finance research letters 70 (2024), pp. 1-8

Persistent link: https://www.econbiz.de/10015194473

Optimal minimax rates of specification testing with data-driven bandwidth

Hitomi, Kohtaro; Iwasawa, Masamune; Nishiyama, Yoshihiko - 2021

Persistent link: https://www.econbiz.de/10012582304

Inflation and west African sectoral stock price indices : an asymmetric kernel method analysis

Doho, Libaud Rudy Aurelien; Somé, Sobom Matthieu; … - In: Emerging markets review 54 (2023), pp. 1-15

Persistent link: https://www.econbiz.de/10014336719

Distributional regression and its evaluation with the CRPS : bounds and convergence of the minimax risk

Pic, Romain; Dombry, Clément; Naveau, Philippe; … - In: International journal of forecasting 39 (2023) 4, pp. 1564-1572

Persistent link: https://www.econbiz.de/10014465329

Optimal minimax rates of specification testing with data-driven bandwidth

Hitomi, Kohtaro; Iwasawa, Masamune; Nishiyama, Yoshihiko - In: Econometric reviews 42 (2023) 6, pp. 487-512

Persistent link: https://www.econbiz.de/10014305572

Adaptive testing using data-driven method selecting smoothing parameters

Wang, Luya - In: Economics letters 215 (2022), pp. 1-4

Persistent link: https://www.econbiz.de/10013448291

KERNEL ESTIMATION OF CUMULATIVE DISTRIBUTION FUNCTION OF A RANDOM VARIABLE WITH BOUNDED SUPPORT

Baszczyńska, Aleksandra - In: Statistics in Transition New Series 17 (2016) 3, pp. 541-556

Persistent link: https://www.econbiz.de/10012141637

Predicting extreme financial risks on imbalanced dataset : a combined kernel FCM and kernel SMOTE based SVM classifier

Huang, Xun; Zhang, Cheng-Zhao; Yuan, Jia - In: Computational economics 56 (2020) 1, pp. 187-216

Persistent link: https://www.econbiz.de/10012272026

Adaptive estimation of heteroskedastic functional-coefficient regressions with an application to fiscal policy evaluation on asset markets

Tu, Yundong; Wang, Ying - In: Econometric reviews 39 (2020) 3, pp. 299-318

Persistent link: https://www.econbiz.de/10012181451

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