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Combined tail estimation using censored data and expert information

Bladt, Martin; Albrecher, Hansjörg; Beirlant, Jan - In: Scandinavian actuarial journal 2020 (2020) 6, pp. 503-525

Persistent link: https://www.econbiz.de/10012262751

Hybrid scheme for Brownian semistationary processes

Bennedsen, Mikkel; Lunde, Asger; Pakkanen, Mikko S. - In: Finance and stochastics 21 (2017) 4, pp. 931-965

Persistent link: https://www.econbiz.de/10011944457

Regular variation of popular GARCH processes allowing for distributional asymmetry

Prono, Todd - 2017 - First version: August 2017

Linear GARCH(1,1) and threshold GARCH(1,1) processes are established as regularly varying, meaning their heavy tails are Pareto like, under conditions that allow the innovations from the, respective, processes to be skewed. Skewness is considered a stylized fact for many financial returns...

Persistent link: https://www.econbiz.de/10011803123

Measuring efficiency and productivity changes : a non-parametric analysis of Ghanaian life insurance industry

Ashiagbor, Albert Ayi; Dziwornu, Raymond; Gbade, Aku Vivian - In: Cogent economics & finance 11 (2023) 1, pp. 1-14

the bootstrap technique to measure the productivity changes of a sample of 19 out of 20 Ghanaian life insurance firms for …

Persistent link: https://www.econbiz.de/10014500826

Testing semiparametric hypotheses in locally stationary processes

Vetter, Mathias; Dette, Holger - 2011

Persistent link: https://www.econbiz.de/10009153837

Testing for a general class of functional inequalities

Lee, Sokbae; Song, Kyungchul; Whang, Yoon-jae - 2014

functionals of kernel-type estimators (1 < p < ∞) and is easy to implement in general, mainly due to its recourse to the bootstrap … method. The bootstrap procedure is based on nonparametric bootstrap applied to kernel-based test statistics, with estimated … "contact sets". We provide regularity conditions under which the bootstrap test is asymptotically valid uniformly over a large …

Persistent link: https://www.econbiz.de/10010254852

A consistent nonparametric test of parametric regression functional form in fixed effects panel data models

Lin, Zhongjian; Li, Qi; Sun, Yiguo - In: Journal of econometrics 178 (2014) 1, pp. 167-179

Persistent link: https://www.econbiz.de/10010255448

Multiple comparisons and joint significance in panel unit root testing with evidence on international interest rate linkage

Hassler, Uwe; Werkmann, Verena - In: Jahrbücher für Nationalökonomie und Statistik 234 (2014) 1, pp. 23-43

Persistent link: https://www.econbiz.de/10010232366

Smooth minimum distance estimation and testing with conditional estimating equations : uniform in bandwidth theory

Lavergne, Pascal; Patilea, Valentin - In: Journal of econometrics 177 (2013) 1, pp. 47-59

Persistent link: https://www.econbiz.de/10010189879

Identification-robust estimation and testing of the zero-beta CAPM

Beaulieu, Marie-Claude; Dufour, Jean-Marie; Khalaf, Lynda - In: The review of economic studies 80 (2013) 3, pp. 892-924

Persistent link: https://www.econbiz.de/10010204244