. Moreover, we apply our proposed Bayesian sampling method to the estimation of bandwidth for the time-varying coefficient models …

This paper develops a sampling algorithm for bandwidth estimation in a nonparametric regression model with continuous … sampling algorithm. Simulation results show that the proposed approach typically leads to better accuracy of the resulting …

Weekly, quarterly and yearly risk measures are crucial for risk reporting according to Basel III and Solvency II. For … sufficient in order to estimate Value at Risk and Expected Shortfall sufficiently, given confidence levels of 99.9% and 99 … obtain significantly more data points for the estimation of the respective risk measures. The presented methodology in the α …

We introduce a dynamic Skellam model that measures stochastic volatility from high-frequency tick-by-tick discrete … series per day varies from 1000 to 10,000. Complexities in the intraday dynamics of volatility and in the frequency of trades … intraday volatility shows that the dynamic modified Skellam model provides accurate forecasts compared to alternative modeling …