This paper focuses on developing a new data-driven procedure for decomposing seasonal time series based on local regression. Formula of the asymptotic optimal bandwidth hA in the current context is given. Methods for estimating the unknowns in hA are investigated. A data-driven algorithm for...

In this paper, I model the intraday trading activity based on volume durations, i.e. the waiting time until a predetermined volume is absorbed by the market. Since this concept measures the trading volume per time it is strongly related to market liquidity. I focus on volumes measured...

In this paper a robust data-driven procedure for decomposing seasonal time series based on a generalized Berlin Method (BV, Berliner Verfahren) as proposed by Heiler and Michels (1994) is discussed. The basic robust algorithm used here is an adaptation of the LOWESS (LOcally Weighted Scatterplot...

Time series in many areas of application often display local or global trends. Typical models that provide statistical explanations of such trends are, for example, polynomial regression, smooth bounded trends that are estimated nonparametrically, and difference-stationary processes such as, for...

This peper anlyzes the impact of tax competition between two countries of un- equal per-capita capital endownments on tax rates and efficiency when distorting wage, residence-based and source-based capital taxes (or any combination of two instruments) are available for governments. The national...

A three parameter (location, scale, shape) generalization of the logistic distribution is fitted to data. Local maximum likelihood estimators of the parameters are derived. Although the likelihood function is unbounded, the likelihood equations have a consistent root. ML-estimation combined with...

To estimate cell probabilities for ordered sparse contingency tables several smooth- ing techniques have been investigated. It has been recognized that nonparametric smoothing methods provide estimators of cell probabilities that have better performance than the pure frequency estimators. With...

Asset price processes are completely described by information processes and investor´s preferences. In this paper we derive the relationship between the process of investor´s expectations ofthe terminal stock price and asset prices in a general continuous time pricing kernel framework. To...