Search Results - subject:"kernels"

Shape invariant modelling pricing kernels and risk aversion

Grith, Maria; Härdle, Wolfgang Karl; Park, Juhyun - 2009

Pricing kernels play a major role in quantifying risk aversion and investors' preferences. Several empirical studies … reported that pricing kernels exhibit a common pattern across different markets. Mostly visual inspection and occasionally … kernels can be viewed as an object evolving over time. We propose a systematic modelling approach to describing the evolution …

Persistent link: https://www.econbiz.de/10010274190

Low-Pass Filter Design using Locally Weighted Polynomial Regression and Discrete Prolate Spheroidal Sequences

Proietti, Tommaso; Luati, Alessandra - Volkswirtschaftliche Fakultät, … - 2009

The paper concerns the design of nonparametric low-pass filters that have the property of reproducing a polynomial of a given degree. Two approaches are considered. The first is locally weighted polynomial regression (LWPR), which leads to linear filters depending on three parameters: the...

Persistent link: https://www.econbiz.de/10005025687

Quantifizierbarkeit von Risiken auf Finanzmärkten

Härdle, Wolfgang Karl; Kirchner, Christian Friedrich … - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2009

Die Krise der internationalen Finanzmärkte hat die allgemeine Wahrnehmung für die in diesen Märkten inhärenten Risiken merklich verändert. Glaubten manche Anleger in den Boomphasen der Finanzmärkte, dass sich eine hohe Kapitalrendite mit geringem Risiko verbinden ließe, wenn man nur die...

Persistent link: https://www.econbiz.de/10008479244

Numerical and Monte Carlo Methods to make Normal Residues in Regression

Ciuiu, Daniel - In: Journal for Economic Forecasting (2009) 4, pp. 119-131

pdf. In this case we will estimate the pdf using some known kernels (see section 2). …

Persistent link: https://www.econbiz.de/10008633170

International Consumption Patterns for Proteins and Fats: Intra-distributional Mobility and the Role of Income Elasticity

Fousekis, Panos - In: Agricultural Economics Review 10 (2009) 1

Stochastic kernels are used in this paper to investigate intra-distribution dynamics in the world per capita intakes of …

Persistent link: https://www.econbiz.de/10008456879

SOCIAL CAPITAL: SYMPATHY, SOCIO-EMOTIONAL GOODS, AND INSTITUTIONS

Robison, Lindon J.; Siles, Marcelo E. - Department of Agricultural, Food and Resource … - 2000

principles that suggest that the social capital paradigm is maturing. Key Words: earned kernels, inherited kernels, institutions …

Persistent link: https://www.econbiz.de/10005514063

New analytical TEMOM solutions for a class of collision kernels in the theory of Brownian coagulation

He, Qing; Shchekin, Alexander K.; Xie, Ming-Liang - In: Physica A: Statistical Mechanics and its Applications 428 (2015) C, pp. 435-442

New analytical solutions in the theory of the Brownian coagulation with a wide class of collision kernels have been … the collision kernels from this class and at arbitrary initial conditions that the relative rates of changing zeroth and …

Persistent link: https://www.econbiz.de/10011209678

A pricing kernel approach to valuing options on interest rate futures

Liu, Xiaoquan; Kuo, Jing-Ming; Coakley, Jerry - In: The European journal of finance 21 (2015) 1/3, pp. 93-110

Persistent link: https://www.econbiz.de/10010519972

Analogy in decision making

Amarante, Massimiliano - In: Mathematics of operations research 40 (2015) 4, pp. 1027-1041

Persistent link: https://www.econbiz.de/10011409045

Local linear smoothers using asymmetric kernels

Chen, Song Xi - 1999

This paper considers using asymmetric kernels in local linear smoothing to estimate a regression curve with bounded … support. The asymmetric kernels are either beta kernels if the curve has a compact support or gamma kernels if the curve is …

Persistent link: https://www.econbiz.de/10010310065