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Empirical Pricing Kernel Estimation Using a Functional Gradient Descent Algorithm Based on Splines

Meier, Pirmin - 2012

We propose a new methodology to estimate the empirical pricing kernel implied from option data. In contrast to most of the studies in the literature that use an indirect approach, i.e. first estimating the physical and risk-neutral densities and obtaining the pricing kernel in a second step, we...

Persistent link: https://www.econbiz.de/10013108080

Penalized Averaging of Parametric and Non-Parametric Quantile Forecasts

De Gooijer, Jan G. - 2019

We propose a hybrid penalized averaging for combining parametric and non-parametric quantile forecasts when faced with a large number of predictors. This approach goes beyond the usual practice of combining conditional mean forecasts from parametric time series models with only a few predictors....

Persistent link: https://www.econbiz.de/10012859663

A mortality model for multi-populations : a semi-parametric approach

Fang, Lei; Härdle, Wolfgang; Park, Juhyun - 2016

Mortality is different across countries, states and regions. Several empirical research works however reveal that … mortality trends exhibit a common pattern and show similar structures across populations. The key element in analyzing mortality … the empirical findings, we make the study of estimating and forecasting mortality rates based on a semi …

Persistent link: https://www.econbiz.de/10011489251

Stochastic population analysis : a functional data approach

Fang, Lei; Härdle, Wolfgang - 2015

Based on the Lee-Carter (LC) model, the benchmark in population forecasting, a variety of extensions and modifications are proposed in this paper. We investigate one of the extensions, the Hyndman-Ullah (HU) method and apply it to Asian demographic data sets: China, Japan and Taiwan. It combines...

Persistent link: https://www.econbiz.de/10010477583

Semi-parametric extensions of the Cairns-Blake-Dowd model : a one-dimensional kernel smoothing approach

Li, Han; O'Hare, Colin - In: Insurance / Mathematics & economics 77 (2017), pp. 166-176

Persistent link: https://www.econbiz.de/10011783941

Bayesian bandwidth selection for a nonparametric regression model with mixed types of regressors

Zhang, Xibin; King, Maxwell L.; Shang, Han Lin - In: Econometrics : open access journal 4 (2016) 2, pp. 1-27

This paper develops a sampling algorithm for bandwidth estimation in a nonparametric regression model with continuous and discrete regressors under an unknown error density. The error density is approximated by the kernel density estimator of the unobserved errors, while the regression function...

Persistent link: https://www.econbiz.de/10011506243

Jump-Robust Volatility Estimation Using Nearest Neighbor Truncation

Andersen, Torben; Dobrev, Dobrislav; Schaumburg, Ernst - 2010

We propose two new jump-robust estimators of integrated variance based on highfrequency return observations. These MinRV and MedRV estimators provide an attractive alternative to the prevailing bipower and multipower variation measures. Specifically, the MedRV estimator has better theoretical...

Persistent link: https://www.econbiz.de/10014200896

Jump-Robust Volatility Estimation Using Nearest Neighbor Truncation

Andersen, Torben - 2010

We propose two new jump-robust estimators of integrated variance based on high-frequency return observations. These MinRV and MedRV estimators provide an attractive alternative to the prevailing bipower and multipower variation measures. Specifically, the MedRV estimator has better theoretical...

Persistent link: https://www.econbiz.de/10013139571

Jump-robust volatility estimation using nearest neighbor truncation

Andersen, Torben; Dobrev, Dobrislav; Schaumburg, Ernst - 2010

Persistent link: https://www.econbiz.de/10008657195

Semi-Parametric Single-Index Predictive Regression Models with Cointegrated Regressors

Zhou, Weilun - 2020

This paper considers the estimation of a semi-parametric single-index regression model that allows for nonlinear predictive relationships. This model is useful for predicting financial asset returns, whose observed behavior is described by a stationary process, when the multiple non-stationary...

Persistent link: https://www.econbiz.de/10012822931