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This paper provides inference methods for best linear approximations to functions which are known to lie within a band. It extends the partial identification literature by allowing the upper and lower functions defining the band to be any functions, including ones carrying an index, which can be...
Persistent link: https://www.econbiz.de/10009692055
This paper provides inference methods for best linear approximations to functions which are known to lie within a band. It extends the partial identifi cation literature by allowing the upper and lower functions de ning the band to carry an index, and to be unknown but parametrically or...
Persistent link: https://www.econbiz.de/10011978436
We introduce econometric methods to perform estimation and inference on the permanent and transitory components of the …
Persistent link: https://www.econbiz.de/10010532537
estimation properties of the method and test its predictive power on S&P 500 option data, comparing it as well with other recent …
Persistent link: https://www.econbiz.de/10013108080
situations, we cannot observe complete information about the data. Employing the efficient estimation method and then choosing …
Persistent link: https://www.econbiz.de/10011606719
We obtain uniform consistency results for kernel-weighted sample covariances in a nonstationary multiple regression framework that allows for both fixed design and random design coefficient variation. In the fixed design case these nonparametric sample covariances have different uniform...
Persistent link: https://www.econbiz.de/10013072455
investment opportunity set for risk-averse investors. We formulate a new estimation procedure for sparse second-order stochastic …
Persistent link: https://www.econbiz.de/10015194210
This paper studies the asymptotic normality for the kernel deconvolution estimator when the noise distribution is logarithmic chi-square; both identical and independently distributed observations and strong mixing observations are considered. The dependent case of the result is applied to obtain...
Persistent link: https://www.econbiz.de/10011297541
estimation plays a key role in its evaluation. Assuming a structural credit risk modeling approach, we study the impact of … effects of different non-parametric estimation techniques on default probability evaluation. The impact of the non …
Persistent link: https://www.econbiz.de/10011506497
the fast-time-time scale sampling frequency is held fixed. The realized kernel density estimation enriches the literature … estimation method is applied to DAX intraday prices, which balances between the bias and the variance of the realized moments … with respect to the bandwidth selection as well as the sampling frequency selection. The main finding is that the kernel …
Persistent link: https://www.econbiz.de/10012264979