Narrow search
Showing 1 - 7 of 7
Cover Image
Estimating High Dimensional Multivariate Stochastic Volatility Models
Pelagatti, Matteo M. - 2020
This paper proposes three main results that enable the estimation of high dimensional multivariate stochastic volatility models. The first result is the closed-form steady-state Kalman filter for the multivariate AR(1) plus noise model. The second result is an accelerated EM algorithm for...
Persistent link: https://www.econbiz.de/10012843258
Cover Image
Nonparametric tests for event studies under cross-sectional depedence
Pelagatti, Matteo M.; Maranzano, Paolo - In: Quarterly journal of finance & accounting : QJFA 59 (2021) 1/2, pp. 29-74
Persistent link: https://www.econbiz.de/10012744718
Cover Image
Non-parametrics in bioenvironmental and public health statistics
Sen, Pranab Kumar - 2000
Persistent link: https://www.econbiz.de/10001485245
Cover Image
Time-dependent coefficients in a Cox-type regression model
Murphy, S. A.; Sen, Pranab Kumar - 1988
Persistent link: https://www.econbiz.de/10000797060
Cover Image
Asymptotic representations and interrelations of robust estimators and their applications
Jurečková, Jana - 1997
Persistent link: https://www.econbiz.de/10001321885
Cover Image
Nonparametric shrinkage estimators of location in a multivariate simple regression model
Sen, Pranab Kumar - 1985
Persistent link: https://www.econbiz.de/10001325512
Cover Image
Nonparametric methods in multivariate analysis
Puri, Madan Lal; Sen, Pranab Kumar - 1971
Persistent link: https://www.econbiz.de/10000061162