This paper develops methodology for semiparametric panel data models in a setting where both the time series and the cross section are large. Such set tings are common in finance and other areas of economics. Our model allows for heterogeneous nonparametric covariate effects as well as...

We investigate the effects of fragmentation in equity trading on the quality of the trading outcomes, specifically volatility, liquidity and volume. We use panel regression methods on a weekly dataset following the FTSE350 stocks over the period 2008-2011, which provides a lot of cross-sectional...

We investigate a nonparametric panel model with heterogeneous regression functions. In a variety of applications, it is natural to impose a group structure on the regression curves. Specifically, we may suppose that the observed individuals can be grouped into a number of classes whose members...

We study a longitudinal data model with nonparametric regression functions that may vary across the observed subjects. In a wide range of applications, it is natural to assume that not every subject has a completely different regression function. We may rather suppose that the observed subjects...

We develop new multiscale methods to test qualitative hypotheses about the function m in the non-parametric regression model Yt,T=m(t/T)+ɛt with time series errors ɛt. In time series applications, m represents a non-parametric time trend. Practitioners are often interested in whether the trend...

In this paper, we study a nonparametric regression model including a periodic component, a smooth trend function, and a stochastic error term. We propose a procedure to estimate the unknown period and the function values of the periodic component as well as the nonparametric trend function. The...

In this paper, we study nonparametric models allowing for locally stationary regressors and a regression function that changes smoothly over time. These models are a natural extension of time series models with time-varying coefficients. We introduce a kernel-based method to estimate the...

Optimal dividend payment under a ruin constraint is a two objective control problem which-in simple models-can be solved numerically by three essentially different methods. One is based on a modified Bellman equation and the policy improvement method (see Hipp (2003)). In this paper we use...

In this note we study the problem of company values with a ruin constraint in classical continuous time Lundberg models. For this, we adapt the methods and results for discrete de Finetti models to time and state continuous Lundberg models. The policy improvement method works also in continuous...

We consider optimal dividend payment under the constraint that the with-dividend ruin probability does not exceed a given value ». This is done in most simple discrete De Finetti models. We characterize the value function V(s,») for initial surplus s of this problem, characterize the...