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The effect of dependence on European market risk : a nonparametric time varying approach

Ascorbebeitia, Jone; Ferreira, Eva; Orbe-Mandaluniz, Susan - In: Journal of business & economic statistics : JBES ; a … 40 (2022) 2, pp. 913-923

Persistent link: https://www.econbiz.de/10013534579

A note on a non-parametric tail dependence estimator

Fischer, Matthias; Dörflinger, Marco - 2006

estimation ; copula …

Persistent link: https://www.econbiz.de/10003903620

Non-parametric estimation of copula parameters : testing for time-varying correlation

Gong, Jinguo; Wu, Weiou; McMillan, David G.; Shi, Daimin - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 19 (2015) 1, pp. 93-106

Persistent link: https://www.econbiz.de/10011311193

Semiparametric conditional quantile estimation through copula-based multivariate models

Noh, Hohsuk; El Ghouch, Anouar; Van Keilegom, Ingrid - In: Journal of business & economic statistics : JBES ; a … 33 (2015) 2, pp. 167-178

Persistent link: https://www.econbiz.de/10011390008

Nonparametric forecasting of multivariate probability density functions

Guégan, Dominique; Iacopini, Matteo - 2018

Persistent link: https://www.econbiz.de/10011868987

Diffusion copulas : identification and estimation

Bu, Ruijun; Hadri, Kaddour; Kristensen, Dennis - 2018

Persistent link: https://www.econbiz.de/10011913721

Efficient Estimation of Multivariate Semi-nonparametric GARCH Filtered Copula Models

Chen, Xiaohong - 2019

This paper considers estimation of semi-nonparametric GARCH ﬁltered copula models in which the individual time series … were directly observed. These nice properties lead to simple and more accurate estimation of Value-at-Risk (VaR) for …

Persistent link: https://www.econbiz.de/10012857717

Interpreting business cycles as generalized two-dimensional loops using penalized splines regression techniques

Teuber, Timo - In: Applied economics quarterly 59 (2013) 1, pp. 1-26

Persistent link: https://www.econbiz.de/10010190766

Improved output gap estimates and forecasts using a local linear regression

Fritz, Marlon - In: International economics : a journal published by CEPII … 172 (2022), pp. 157-167

Persistent link: https://www.econbiz.de/10014339408

Nonparametric Impulse Response Analysis in Changing Macroeconomic Conditions

Nyberg, Henri; Lanne, Markku - 2021

We introduce a simple nonparametric approach to compute impulse response functions. We first search for clusters of recurrent patterns of observations resembling two sets of given initial conditions, one of which contains the impact effect of the structural shock of interest. Then, to trace out...

Persistent link: https://www.econbiz.de/10013216683