Search Results - subject:"semi-nonparametric methods"

Moments expansion densities for quantifying financial risk

Ñíguez, Trino-Manuel; Perote, Javier - In: The North American journal of economics and finance : a … 42 (2017), pp. 53-69

Persistent link: https://www.econbiz.de/10011938073

Multivariate moments expansion density : application of the dynamic equicorrelation model

Ñíguez, Trino-Manuel; Perote, Javier - In: Journal of banking & finance 72 (2016), pp. 216-232

Persistent link: https://www.econbiz.de/10011637138

The snp-dcc model: a new methodology for risk management and forecasting

Brio, Esther B. del; Ñíguez, Trino-Manuel; Perote, Javier - 2010

Persistent link: https://www.econbiz.de/10010422539

Multivariate semi-nonparametric distributions with dynamic conditional correlations

Brio, Esther B. Del; Ñíguez, Trino-Manuel; Perote, Javier - In: International Journal of Forecasting 27 (2011) 2, pp. 347-364

This paper generalizes the Dynamic Conditional Correlation (DCC) model of Engle (2002), incorporating a flexible non-Gaussian distribution based on Gram-Charlier expansions. The resulting semi-nonparametric-DCC (SNP-DCC) model allows estimation in two stages and deals with the negativity problem...

Persistent link: https://www.econbiz.de/10011051416

EmmPack 1.01: C/C++ Code for Use with Ox for Estimation of Univariate Stochastic Volatility Models with the Efficient Method of Moments

van der Sluis, Pieter J. - In: Studies in Nonlinear Dynamics & Econometrics 2 (1997) 3

Econometric estimation using simulation techniques, such as the efficient method of moments, may be time consuming. The use of ordinary matrix-programming languages such as GAUSS, MATLAB, Ox, or S-PLUS will often cause extra delays. For the efficient method of moments implemented to estimate...

Persistent link: https://www.econbiz.de/10014620802