Search Results

Higher order conditional moment dynamics and forecasting value-at-risk (in Russian),
Grigory Franguridi, in Quantile (2014)
Keywords: value-at-risk, conditional distribution, skewness, kursosis, financial returns

INTERDEPENDENCE AND FORECASTING OF S&P500, OIL, EURO / DOLLAR AND 10-YEAR U.S. INTEREST RATE MARKETS: AN ATTEMPT OF MODELLING THROUGH THE VOLATILITY,
Ahmed Ksaier and Isabelle Cristiani-D’ornano, in Review of Economic and Business Studies (2010)
Keywords: Volatility, Long Memory, FIGARCH, Forecasting

Modeling And Forecasting Ghana’s Inflation Rate Under Threshold Models,
Emmanuel Antwi, Emmanuel Numapau Gyamfi and Kwabena A. Kyei, in Journal of Developing Areas (2019)
Keywords: Inflation, Nonlinear Models, Self-Exciting Threshold Autoregression Model, Logistics Smooth Threshold Autoregression Model, Forecasting

Predicción del IPC mexicano combinando modelos econométricos e inteligencia artificial,
Luis Manuel León Anaya, Víctor Manuel Landassuri Moreno, Héctor Rafael Orozco Aguirre and Maricela Quintana López, in Remef - Revista Mexicana de Economía y Finanzas Nueva Época REMEF (The Mexican Journal of Economics and Finance) (2018)
Keywords: Pronóstico, Índice Bursátil, Series de Tiempo, Descomposición Empírica en Modos, Redes Neuronales Artificiales Evolutivas

ESTUDIO DE LA VOLATILIDAD REALIZADA APLICADO AL ÍNDICE DE PRECIOS Y COTIZACIONES DE MÉXICO,
Arturo Lorenzo Valdés, in Remef - Revista Mexicana de Economía y Finanzas Nueva Época REMEF (The Mexican Journal of Economics and Finance) (2004)
Keywords: Alta frecuencia , Volatilidad realizada, ARFIMA X , GARCH

Asymmetry, Fat-tail and Autoregressive Conditional Density in Daily Stocks Return Data,
Ali Babikir, Mohammed Elamin Hassan and Henry Mwambi, in Annals of Economics and Statistics (2019)
Keywords: GARCH, ARCD, Conditional Volatility, Skewness and Kurtosis.

Evaluation of the Performance of Combined Methods in Real-Time Forecasting of Inflation in Iran (in Persian),
Hamed Atrianfar and ,, in Journal of Monetary and Banking Research (فصلنامه پژوهش‌های پولی-بانکی) (2014)

(in Persian),
Saeed Bayat and Seyed Mahdi Barakchian, in Journal of Monetary and Banking Research (فصلنامه پژوهش‌های پولی-بانکی) (2014)

Detection and Forecasting of Islamic Calendar Effects in Time series Data,
Riaz Riazuddin and Mahmood ul Hasan Khan, in SBP Research Bulletin (2005)
Keywords: Seasonal Effects, Fractional Indicator Variable, Islamic Hijri Calendar, Forecasting

New Evidence on the Predictability of South Africa FX Volatility in Heterogeneous Bilateral Markets,
Gordon H. Dash and Nina Kajiji, in The African Finance Journal (2003)

Empleando modelos jerárquicos para encontrar el mejor modelo para pronosticar los galones de gasolina corriente demandados en Bogotá (Colombia) || Use of hierarchical models to find the best model to forecast the gallons of regular gasoline demanded in Bogotá (Colombia),
Julio César Alonso Cifuentes, Javier Gustavo Díaz, Daniela Estrada, César Alfonso Figueroa and Gabriel Tamura, in Revista de Métodos Cuantitativos para la Economía y la Empresa = Journal of Quantitative Methods for Economics and Business Administration (2019)
Keywords: Colombia, gasolina, modelos jerárquicos, series de tiempo, pronósticos, Colombia, gasoline, hierarchical models, time series, forecasts

Independent Spike Models: Estimation and Validation,
Erik Lindström and Fredric Regland, in Czech Journal of Economics and Finance (Finance a uver) (2012)
Keywords: regime switching models, electricity spot prices, independent spike models, gamma distribution

Währungsunionen, Wechselkursregime und deren Effekte auf bilateralen Handel: drei empirische Ergebnisse,
Sabrina Dorn, in KOF Analysen (2015)
Keywords: Exchange rate regimes, Bilateral trade, Heterogeneous treatment effects, Stratified matching, Random Forests

Note sur les méthodes univariées d’extraction du cycle économique,
Anna Sess and Michel Grun-Rehomme, in Brussels Economic Review (2007)
Keywords: Cycle économique/Business cycle; Tendance/Trend; Filtre passe-haut/High-pass filter; Filtre passe-bande/Pass-band filter; Composantes inobservables/Unobserved components

АНАЛИЗ НА ВРЕМЕВИТЕ РЕДОВЕ НА ЦЕНИТЕ И ОБЕМА НА БОРСОВАТА ТЪРГОВИЯ НА ЕЛЕКТРИЧЕСКА ЕНЕРГИЯ В УСЛОВИЯТА НА НИСКА ЛИКВИДНОСТ,
Виктор Аврамов, in Electronic magazine "Dialogue" (2019)
Keywords: потребление на електрическа енергия, сезонност, времеви редове, прогнозиране

Exchange Rate Risk Premium: An Analysis of its Determinants for the Mexican Peso-USD,
Guillermo Benavides Perales, in Remef - Revista Mexicana de Economía y Finanzas Nueva Época REMEF (The Mexican Journal of Economics and Finance) (2016)
Keywords: Exchange rates, Mexican peso-USD, Risk-Neutral Densities, Risk premiums

Prevision des prix a terme du cacao et modeles ARMA non-lineaires,
S. Bolgot and M. Terraza, from Universite Aix-Marseille III (1999)
Keywords: PREVISIONS ; SERIES TEMPORELLES ; MODELES ECONOMIQUES ; ECONOMETRIE

Un modello a soglia per la volatilità del mercato azionario italiano: performance previsive e valutazione del rischio di portafoglio,
Asmara Jamaleh, in Rivista di Politica Economica (2001)

Wavelet Smoothed Empirical Copula Estimators,
Pedro Alberto Morettin, Clélia Maria de Castro Toloi, Chang Chiann and José Carlos Simon de Miranda, in Brazilian Review of Finance (2010)
Keywords: copula, empirical copula, time series, wavelet, , copula, empirical copula, time series, wavelet

Interval and Band Estimation for Curves with Jumps,
I Gijbels, P Hall and A Kneip, from Catholique de Louvain - Institut de statistique (1996)
Keywords: STATISTICS

What is Missing Sometimes to Enable Statistical Methods to Increase Their Cognitive Capacity?,
Nicolay Stoenchev, in Economic Alternatives (2010)
Keywords: statistical methods, statistical analysis, subjective errors

A review of non-parametric curve estimation methods with application to Econometrics,
Ronaldo Dias, in Economia (2002)
Keywords: Kernel estimation, cross-validation, orthogonal series, B-splines

COMBINING PARAMETRIC AND NON-PARAMETRIC METHODS TO COMPUTE VALUE-AT-RISK,
Ramon Alemany, Catalina Bolancé, Montserrat Guillén and Alemar E. Padilla-Barreto, in ECONOMIC COMPUTATION AND ECONOMIC CYBERNETICS STUDIES AND RESEARCH (2016)
Keywords: quantile, nonparametric, loss models, extremes, risk evaluation

Dependent wild bootstrap for the empirical process,
Paul Doukhan, Gabriel Lang, Anne Leucht and Michael H. Neumann, from University of Mannheim, Department of Economics (2014)
Keywords: Absolute regularity , bootstrap , empirical process , time series , V -statistics , quantiles , Kolmogorov-Smirnov test

Análisis comparativo de la eficiencia de las instituciones micro financieras en América Latina; una evaluación mediante la envolvente de datos (DEA),
Antonio Kido-Cruz, Alberto Ortiz Zavala and María Teresa Kido-Cruz, in Economía: teoría y práctica (2022)
Keywords: Banca social, eficiencia, tipo de propiedad, dea, micro finanzas

Smooth monotonous functions reconstruction,
Sergey Smolyak, in Applied Econometrics (2010)
Keywords: Function of one variable; smoothness; monotonicity; reconstruction; random errors

Pricing maximum-minimum bidirectional options in trinomial CEV model,
Bin Peng and Fei Peng, in Journal of Economics, Finance and Administrative Science (2016)
Keywords: Trinomial CEV model; Recursive algorithm; Maximum-minimum bidirectional options

Finite sample performance of kernel-based regression methods for non-parametric additive models under common bandwidth selection criterion,
Carlos Martins-Filho and Ke Yang, from University Library of Munich, Germany (2007)
Keywords: Additive non-parametric regression, Local linear estimation, Backfitting estimation, Smooth backfitting, Marginal integration

Comment on “Simulation and Estimation of Hedonic Models” by Heckman, Matzkin and Nesheim,
Michael Keane, from University Library of Munich, Germany (2003)
Keywords: hedonic models; identification; Bayesian semi-parametrics, structural model; theory based empirical analysis; functional form assumptions; instrumental variables; mixture-of-normals; flexible parametric models

Testing a differential condition and local normality of densities,
Kairat Mynbayev and Aziza Aipenova, from University Library of Munich, Germany (2014)
Keywords: testing; local normality test; alternative hypothesis; null hypothesis; asymptotic normality

Estimation of varying coefficient models with time trend and integrated regressors,
Kunpeng Li and Weiming Li, in Economics Letters (2013)
Keywords: Varying coefficient model; Time trend; Local constant estimator; Consistency;

Efficient estimation of partially linear varying coefficient models,
Wei Long, Min Ouyang and Ying Shang, in Economics Letters (2013)
Keywords: Partially linear; Varying coefficient; Semiparametric method; Efficient estimation; Simulation;

Profile least squares estimation of a partially linear time trend model with weakly dependent data,
Zheng Li, Li Su and Daiqiang Zhang, in Economics Letters (2014)
Keywords: Partially linear; Time trend; Semiparametric bound, asymptotic normality;

Semiparametric estimation of default probability: Evidence from the Prosper online credit market,
Xiaofeng Li, Ying Shang and Zhi Su, in Economics Letters (2015)
Keywords: Semiparametric method; Single index model; Default probability;

Smoothed kernel conditional density estimation,
Kuangyu Wen and Ximing Wu, in Economics Letters (2017)
Keywords: Conditional density estimation; Bandwidth selection; Body mass index;

Consistent specification test for partially linear models with the k-nearest-neighbor method,
Wenju Wang and Qiao Wang, in Economics Letters (2019)
Keywords: Partially linear model; k-nearest-neighbor; Consistent test;

Robust kernels for kernel density estimation,
Shaoping Wang, Ang Li, Kuangyu Wen and Ximing Wu, in Economics Letters (2020)
Keywords: Kernel density estimation; Bandwidth selection; Robust kernel function; Income distribution;

Sample sensitivity for two-step and continuous updating GMM estimators,
Rikuto Onishi and Taisuke Otsu, in Economics Letters (2021)
Keywords: Sensitivity analysis; Generalized method of moments; Misspecification;

Inference on incomplete information games with multi-dimensional actions,
Hideyuki Tomiyama and Taisuke Otsu, in Economics Letters (2022)
Keywords: Multiple equilibria; Partial identification; Moment inequalities;

Inference on conditional moment restriction models with generated variables,
Ryo Kimoto and Taisuke Otsu, in Economics Letters (2022)
Keywords: Conditional moment restriction; Generated variable; GMM;

Empirical likelihood inference for Oaxaca–Blinder decomposition,
Taisuke Otsu and Shiori Tanaka, in Economics Letters (2022)
Keywords: Oaxaca–Blinder decomposition; Empirical likelihood; Two-sample test;

On empirical likelihood statistical functions,
Ao Yuan, Jinfeng Xu and Gang Zheng, in Journal of Econometrics (2014)
Keywords: Empirical likelihood; Quantile estimation; Uniform SLLN; Uniform CLT;

Consistent model specification tests based on k-nearest-neighbor estimation method,
Hongjun Li, Qi Li and Ruixuan Liu, in Journal of Econometrics (2016)
Keywords: k-nearest-neighbor method; Consistent test; Bootstrap; Empirical application;

Testing rationality without restricting heterogeneity,
Kohei Kawaguchi, in Journal of Econometrics (2017)
Keywords: Stochastic rationalizability; Axiom of revealed stochastic preference; Nonparametric test; Bootstrap;

Criterio de Laplace: Premisa fundamental en inducción estadística,
Emilio José Chaves, in Revista Tendencias (2015)
Keywords: Inducción estadística; Modelos de ajuste; Métodos numéricos; Curvas de Lorenz y FDA; Muestras aleatorias

Computing semiparametric efficiency bounds in linear models with nonparametric regressors,
Andres Aradillas-Lopez, in Economics Letters (2019)

Well-posedness of measurement error models for self-reported data,
Yonghong An and Yingyao Hu, in Journal of Econometrics (2012)
Keywords: Well-posed; Ill-posed; Inverse problem; Fredholm integral equation; Deconvolution; Rate of convergence; Measurement error model; Self-reported data; Survey data;

Bootstrap-based Bandwidth Selection for Semiparametric Generalized Regression Estimators,
Chuan Goh, from University of Toronto, Department of Economics (2009)
Keywords: Bandwidth selection, semiparametric, single-index model, bootstrap, m-out-of-n bootstrap, kernel smoothing

Bandwidth Selection for Semiparametric Estimators Using the m-out-of-n Bootstrap,
Chuan Goh, from University of Toronto, Department of Economics (2007)
Keywords: bandwidth selection, density-weighted averages, bootstrap, m-out-of-n bootstrap, kernel density estimation

Empirical comparisons in short-term interest rate models using nonparametric methods,
Manuel Arapis and Jiti Gao, from University Library of Munich, Germany (2005)
Keywords: Diffusion process; drift function; kernel density estimation; stochastic volatility

Semiparametric penalty function method in partially linear model selection,
Chaohua Dong, Jiti Gao and Howell Tong, from University Library of Munich, Germany (2006)
Keywords: Linear model; model selection; nonparametric method; partially linear model; semiparametric method

A test for model specification of diffusion processes,
Song Chen, Jiti Gao and Chenghong Tang, from University Library of Munich, Germany (2007)
Keywords: Bootstrap; diffusion process; empirical likelihood; goodness-of-fit test; time series; transitional density

Estimation in semiparametric spatial regression,
Jiti Gao, Zudi Lu and Dag Tjostheim, from University Library of Munich, Germany (2005)
Keywords: Additive approximation; asymptotic theory; conditional autoregression; local linear kernel estimate; marginal integration; semiparametric regression; spatial mixing process

Bandwidth selection for nonparametric kernel testing,
Jiti Gao and Irene Gijbels, from University Library of Munich, Germany (2007)
Keywords: Choice of bandwidth parameter; Edgeworth expansion; nonparametric kernel testing; power function; size function

Semiparametric spatial regression: theory and practice,
Jiti Gao, Zudi Lu and Dag Tjostheim, from University Library of Munich, Germany (2006)
Keywords: Additive approximation; asymptotic theory, conditional autoregression; local linear kernel estimate; marginal integration; semiparametric regression; spatial mixing process

On the Joint Distribution of Placement Statistics under Progressive Censoring and Applications to Precedence Test,
N Balakrishnan, Ram Tripathi and Nandini Kannan, from College of Business, University of Texas at San Antonio (2007)
Keywords: Progressove Type-II censoring, placements, precedence and exceedance statistics, nonparametric tests of homogeneity, Wilcoxon rank-sum test.

Precedence-type Test based on Progressively Censored Samples,
N Balakrishnan, Ram Tripathi, Nandini Kannan and H. K. T. Ng, from College of Business, University of Texas at San Antonio (2008)
Keywords: Precedence test; Product-limit estimator; Type-II progressive censoring; Life-testing; level of significance; power; Lehmann alternative; Monte Carlo simulations

Nonparametric Identification of Dynamic Games with Multiple Equilibria and Unobserved Heterogeneity,
Ruli Xiao, from Center for Applied Economics and Policy Research, Department of Economics, Indiana University Bloomington (2016)
Keywords: Multiple equilibria; Unobserved heterogeneity; Discrete games; Dynamic games; Non-parametric identification

A Nonparametric Model of Frontiers,
Carlos Martins-Filho and Feng Yao, from Econometric Society (2004)
Keywords: nonparametric regression frontier, local linear estimation, U statistics.

Identification and Estimation of Triangular Simultaneous Equations Models without Additivity,
Whitney Newey and Guido Imbens, from Econometric Society (2004)
Keywords: nonparametric endogeneity, control function, identification

Does Money Grow on Trees? The Diversification Properties of U.S. Timberland Investments,
Bert Scholtens and Laura Spierdijk, in Land Economics (2010)

A Smoothed- Distribution Form of Nadaraya- Watson Estimation,
Ralph Bailey and John Addison, from Department of Economics, University of Birmingham (2010)
Keywords: nonparametric regression; Nadaraya- Watson; kernel density; conditional expectation estimator; conditional variance estimator; local polynomial estimator

Nonparametric and semiparametric regression model selection,
Jiti Gao and Howell Tong, from University Library of Munich, Germany (2004)
Keywords: Linear model, model selection; mixing process; nonlinear time series; nonparametric regression; semiparametric regression; strictly stationary process; variable selection

Analysis of technical efficiency of crop producing smallholder farmers in Tigray,Ethiopia,
Shumet Asefa, from University Library of Munich, Germany (2012)
Keywords: Technical Efficiency, Smallholder Farmers, Agriculture

Estimation and model specification testing in nonparametric and semiparametric econometric models,
Jiti Gao and Maxwell King, from University Library of Munich, Germany (2006)
Keywords: Estimation; model specification; semi-parametric error correction model; stochastic process

Copula-based orderings of multivariate dependence,
Koen Decancq, from Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) (2010)
Keywords: copula, concordance ordering, dependence measures, dependence orderings, multivariate stochastic dominance, supermodular ordering

Why the long-term auto-correlation has not been eliminated by arbitragers: Evidences from NYMEX,
Daye Li, Yusaku Nishimura and Ming Men, in Energy Economics (2016)
Keywords: Hurst exponent; Long-term trend; Fractal Brownian motion; Momentum strategy;

Inference for the tail conditional allocation: Large sample properties, insurance risk assessment, and compound sums of concomitants,
N.V. Gribkova, J. Su and R. Zitikis, in Insurance: Mathematics and Economics (2022)
Keywords: Capital allocations; Marginal expected shortfall; Compound sums; Order statistics; Concomitants;

A Review of Kernel Density Estimation with Applications to Econometrics,
Adriano Z. Zambom and Ronaldo Dias, in International Econometric Review (IER) (2013)
Keywords: Nonparametric Density Estimation, SiZer, Plug-In Bandwidth Selectors, Cross- Validation, Smoothing Parameter.

A Note on Covariance Matrix Estimation in Quantile Regressions,
Hongtao Guo and Zhijie Xiao, in Frontiers of Economics in China-Selected Publications from Chinese Universities (2014)
Keywords: bandwidth selection, expansion, quantile regression

Adapting kernel estimation to uncertain smoothness,
Yulia Kotlyarova, Marcia M. A. Schafgans and Zinde‐Walsh, Victoria, from London School of Economics and Political Science, LSE Library (2011)
Keywords: nonparametric estimation; kernel based estimator; combined stimator; variance bootstrap

Do Buyers’ Characteristics and Personal Relationships Affect Agricultural Land Prices?,
Philip Kostov, in Land Economics (2010)

A Smoothed-Distribution Form of Nadaraya-Watson Estimation,
Ralph Bailey and John Addison, from GEMF, Faculty of Economics, University of Coimbra (2011)
Keywords: nonparametric regression, Nadaraya-Watson, kernel density, conditional expectation estimator, conditional variance estimator, local polynomial estimator

A Practical Asymptotic Variance Estimator for Two-Step Semiparametric Estimators,
Daniel Ackerberg, Xiaohong Chen and Jinyong Hahn, in The Review of Economics and Statistics (2012)
Keywords: semiparametric inference

Generalized Semiparametric Binary Prediction,
Jeffrey Racine, in Annals of Economics and Finance (2002)
Keywords: Semiparametric, Nonparametric methods

A distribution-free test for outliers,
Bertrand Candelon and Norbert Metiu, from Deutsche Bundesbank (2013)
Keywords: bootstrap, mode testing, nonparametric statistics, outlier detection

PRODUCTIVITY DYNAMICS OF THE COLOMBIAN MANUFACTURING SECTOR,
Marcela Meléndez, Katja Seim and Pablo Medina, from Universidad de los Andes, Facultad de Economía, CEDE (2003)
Keywords: Productivity dynamics

Identifizierung von Ausreissern in eindimensionalen gewichteten Umfragedaten,
Anna Sandqvist, in KOF Analysen (2016)
Keywords: Outlier detection, skewness, size-weight, periodic surveys

Inference on conditional moment restriction models with generated variables,
Ryo Kimoto and Taisuke Otsu, from London School of Economics and Political Science, LSE Library (2022)
Keywords: conditional moment restriction; generated variable; GMM

Inference on incomplete information games with multi-dimensional actions,
Hideyuki Tomiyama and Taisuke Otsu, from London School of Economics and Political Science, LSE Library (2022)
Keywords: multiple equilibria; partial identification; moment inequalities

Bandwidth selection for nonparametric regression with errors-in-variables,
Hao Dong, Taisuke Otsu and Luke Taylor, from London School of Economics and Political Science, LSE Library (2023)
Keywords: measurement error models; deconvolution; nonparametric regression; bandwidth selection

Subsampling inference for nonparametric extremal conditional quantiles,
Daisuke Kurisu and Taisuke Otsu, from London School of Economics and Political Science, LSE Library (2023)
Keywords: quantile regression; subsampling; extreme value theory

Semiparametric model building for regression models with time-varying parameters,
Ting Zhang, in Journal of Econometrics (2015)
Keywords: Information criterion; Nonstationary processes; Penalization methods; Semiparametric variable selection; Time-varying coefficient models;

Examples of L2-complete and boundedly-complete distributions,
Donald Andrews, in Journal of Econometrics (2017)
Keywords: Bivariate distribution; Bounded completeness; Canonical correlation; Completeness; Identification; Measurement error; Nonparametric instrumental variable regression;

A PRIMER ON PROPENSITY SCORE MATCHING ESTIMATORS,
Katja Vinha, from Universidad de los Andes, Facultad de Economía, CEDE (2002)
Keywords: Propensity score matching, binary treatment, multiple treatments

Asymptotic expansions for some semiparametric program evaluation estimators,
Hidehiko Ichimura and Oliver Linton, from London School of Economics and Political Science, LSE Library (2003)
Keywords: bandwidth selection; kernel estimation; program evaluation; semiparametric estimation; treatment effect.

Edgeworth approximations for semiparametric instrumental variable estimators and test statistics,
Oliver Linton, from London School of Economics and Political Science, LSE Library (2000)
Keywords: Bandwidth selection; Edgeworth approximation; instrumental variables; kernel estimation; local polynomials

Estimating multiplicative and additive hazard functions by kernel methods,
Oliver Linton, Jens Perch Nielsen and Sara van de Geer, from London School of Economics and Political Science, LSE Library (2001)
Keywords: Additive model; censoring; kernel; proportional hazards; survival analysis

The existence and asymptotic properties of a backfitting projection algorithm under weak conditions,
Enno Mammen, Oliver Linton and J Nielsen, from London School of Economics and Political Science, LSE Library (2000)
Keywords: Additive models; alternating projections; backfitting; kernel smoothing; local polynomials; nonparametric regression

Nonparametric transformation to white noise,
Oliver Linton and Enno Mammen, from London School of Economics and Political Science, LSE Library (2006)
Keywords: Efficiency; Inverse Problem; Kernel Estimation; Nonparametric regression; Time Series; Unit Roots.