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Robust value at risk prediction

Mancini, Loriano; Trojani, Fabio - 2007

Persistent link: https://www.econbiz.de/10003597922

Robust value at risk prediction

Mancini, Loriano (contributor); Trojani, Fabio (contributor) - 2007

Persistent link: https://www.econbiz.de/10003550862

Robust value at risk prediction

Mancini, Loriano (contributor); Trojani, Fabio (contributor) - 2007

Persistent link: https://www.econbiz.de/10003674273

Robust value at risk prediction

Mancini, Loriano; Trojani, Fabio - In: Journal of financial econometrics : official journal of … 9 (2011) 2, pp. 281-313

Persistent link: https://www.econbiz.de/10009125125

Robust Value at Risk Prediction : Appendix

Mancini, Loriano - 2010

forecast evaluation; provides additional Monte Carlo simulation results on GARCH model estimation and VaR prediction; extends …

Persistent link: https://www.econbiz.de/10013138328

Identification and estimation of panel semiparametric conditional heteroskedastic frontiers with dynamic inefficiency

Cai, Jun; Horrace, William C.; Lee, Yoonseok - In: Econometric reviews 43 (2024) 5, pp. 238-268

Persistent link: https://www.econbiz.de/10014551521

Semiparametric estimation of fixed-effects panel data varying coefficient models

Sun, Yiguo; Carroll, Raymond J.; Li, Dingding - In: Nonparametric econometric methods, (pp. 101-129). 2009

We consider the problem of estimating a varying coefficient panel data model with fixed-effects (FE) using a local linear regression approach. Unlike first-differenced estimator, our proposed estimator removes FE using kernel-based weights. This results a one-step estimator without using the...

Persistent link: https://www.econbiz.de/10015382587

Semiparametric estimation of fixed-effects panel data varying coefficient models

Sun, Yiguo; Carroll, Raymond J.; Li, Dingding - In: Nonparametric econometric methods, (pp. 101-129). 2010

Persistent link: https://www.econbiz.de/10009377104

Direct semi-parametric estimation of fixed effects panel data varying coefficient models

Rodríguez Poo, Juan Manuel; Soberon, Alexandra - In: The econometrics journal 17 (2014) 1, pp. 107-138

Persistent link: https://www.econbiz.de/10010498753

Cross-country output convergence and growth : evidence from varying coefficient nonparametric method

Li, Kui-wai; Zhou, Xianbo; Pan, Zhewen - In: Economic modelling 55 (2016), pp. 32-41

Persistent link: https://www.econbiz.de/10011642441