Search Results

Comparison of Volatility Models of PX Index and FTSE 100 Index,
Adam Borovička, in Acta Oeconomica Pragensia (2011)
Keywords: volatility, conditional heteroskedasticity, EGARCH, GJR-GARCH, function NIC

Determinants of Net Interest Margins in Emerging Markets:A Generalized Method of Moments Approach,
Adeela Khalil and Umar Farooq, in Journal of Quantitative Methods (2019)
Keywords: net interest margin; leverage risk; implicit interest payment; non-interest bearing reserve; management efficiency; credit risk

TESTING FOR CAUSALITY IN VARIANCE FOR WORLD STOCK EXCHANGE INDEXES,
Malgorzata Madrak-Grochowska and Miroslawa Zurek, in Oeconomia Copernicana (2011)
Keywords: causality in variance, Cheung- Ng test, GARCH model

A Comparison of VaR Estimation Procedures for Leptokurtic Equity Index Returns,
Malay Bhattacharyya and Siddarth Madhav R, from University Library of Munich, Germany (2012)
Keywords: Dynamic VaR; GARCH; EVT; Johnson SU; Pearson Type IV; Mixture of Normal Distributions; Manly; John Draper; Yeo-Johnson Transformations

Modelling asymmetric conditional heteroskedasticity in financial asset returns: an extension of Nelson’s EGARCH model,
Lucius Cassim, from University Library of Munich, Germany (2018)
Keywords: GARCH, TARCH, EGARCH, Quasi Maximum Likelihood Estimation, Martingale

Modelling Risk on the Egyptian Stock Market: Evidence from a Markov-Regime Switching GARCH Process,
Omar Ibrahim, from University Library of Munich, Germany (2019)
Keywords: Risk Management, Value at Risk, GARCH, Markov Chains

Connecting Silos: On linking macroeconomics and finance, and the role of econometrics therein,
Michel van der Wel, from Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus University Rotterdam. (2020)
Keywords: Macro-Finance, Econometrics, Financial Econometrics, Fixed Income, Time Series Econometrics, Term Structure of Interest Rates, macro-economie, economische crises, econometrische modellen, financiering, obligaties, tijdreeksen

Econometric modelling of exchange rate volatility using mixed-frequency data,
Priya Chaturvedi and Kuldeep Kumar, from University Library of Munich, Germany (2022)
Keywords: exchange rate volatility; GARCH-MIDAS; macroeconomic and financial variables; asymmetry

Robust inference of risks of large portfolios,
Jianqing Fan, Fang Han, Han Liu and Byron Vickers, in Journal of Econometrics (2016)
Keywords: High dimensionality; Robust inference; Rank statistics; Quantile statistics; Risk management;

Assessing the Impact of Outbreaks on Malaysian Listed Property Companies in Mixed-Asset Portfolios,
Razali Muhammad Najib, Jalil Rohaya Abdul and Shayuti Ahmad Faisal, in Real Estate Management and Valuation (2021)
Keywords: outbreaks, Malaysia, listed property companies, mixed-assets, property portfolio

Efficiency, multifractality, and the long-memory property of the Bitcoin market: A comparative analysis with stock, currency, and gold markets,
Khamis Hamed Al-Yahyaee, Walid Mensi and Seong-Min Yoon, in Finance Research Letters (2018)
Keywords: Bitcoin; Efficient market hypothesis; Long memory; Hurst exponent; MF-DFA;

On the interplay between US sectoral CDS, stock and VIX indices: Fresh insights from wavelet approaches,
Syed Jawad Hussain Shahzad, Chaker Aloui and Rania Jammazi, in Finance Research Letters (2020)
Keywords: Credit default swaps; Stock markets; Volatility index; Wavelet squared coherence;

Stock Market Co-movement and Shock Transmission: Islamic versus Conventional Equity Indices,
Ginanjar Dewandaru, AbdelKader Alaoui, Obiyathulla Bacha and Abul Masih, from University Library of Munich, Germany (2014)
Keywords: Islamic finance, Shariah, Shock transmission, financial crisis, contagion, interdependence, market integration, wavelet analysis, wavelet coherency

Econometric Model – A Tool in Financial Management,
Riana Iren Radu, in Economics and Applied Informatics (2011)
Keywords: Financial management, Econometric model, Instrument

Dynamic network analysis of North American financial institutions,
Shaowen Liu, Massimiliano Caporin and Sandra Paterlini, in Finance Research Letters (2021)
Keywords: Financial network; Dynamic network; COVID19; Financial contagion; Financial crises;

volatilityforecastingpackage: A Financial Volatility Package in Mathematica,
Noorshanaaz Khodabaccus and Aslam A. E. F. Saib, in Computational Economics (2024)
Keywords: Volatility forecasting, Volatility models, Financial econometrics

Smoothing it Out: Empirical and Simulation Results for Disentangled Realized Covariances,
Harry Vander Elst and David Veredas, in Journal of Financial Econometrics (2017)
Keywords: realized measures, noise, jumps, synchronization

The Role of Jumps in Realized Volatility Modeling and Forecasting,
Massimiliano Caporin, in Journal of Financial Econometrics (2023)
Keywords: forecasting, jumps, liquidity, realized volatility, staleness

Martingale approach in pricing and hedging European options under regime-switching,
Grigori N. Milstein and Vladimir Spokoiny, from Humboldt University Berlin, Collaborative Research Center 649: Economic Risk (2011)
Keywords: incomplete markets, martingale measure, generalized self-financing strategy, attainability, self-financing in mean

Forecasting tail risk measures for financial time series: An extreme value approach with covariates,
Robert James, Henry Leung, Jessica Wai Yin Leung and Artem Prokhorov, in Journal of Empirical Finance (2023)
Keywords: Value-at-risk; Expected shortfall; GARCH models; Extreme value theory; Variable selection; Regularization;

Heterogeneous tail generalized common factor modeling,
Simon Hediger, Jeffrey Näf, Marc S. Paolella and Paweł Polak, in Digital Finance (2023)
Keywords: Asset pricing model, Cryptocurrencies, Expectation maximization algorithm, Mixture distribution, Portfolio optimization

Distributional properties of continuous time processes: from CIR to bates,
Ostap Okhrin, Michael Rockinger and Manuel Schmid, in AStA Advances in Statistical Analysis (2023)
Keywords: Higher moments, Distributional properties, Stochastic volatility, Jump diffusion, CIR process, Square-root process

The Economic Valuation of Variance Forecasts: An Artificial Option Market Approach,
Radovan Parrák, from Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies (2013)
Keywords: GARCH, Realized volatility, economic loss function, volatility forecasting

Evaluating the performance of futures hedging using multivariate realized volatility,
Masato Ubukata and Toshiaki Watanabe, in Journal of the Japanese and International Economies (2015)
Keywords: Realized covariance matrix; Optimal hedge ratio; Conditional hedging model; High-frequency data;

The interconnections between U.S. financial CDS spreads and control variables: New evidence using partial and multivariate wavelet coherences,
Besma Hkiri, Shawkat Hammoudeh, Chaker Aloui and Muhammad Shahbaz, in International Review of Economics & Finance (2018)
Keywords: CDS spreads; Wavelet coherence; Multiple wavelet; Partial wavelet; Maximum overlap discrete wavelet transform;

Multivariate statistical analysis for portfolio selection of italian stock market,
Alessia Naccarato and Andrea Pierini, from Department of Economics - University Roma Tre (2012)
Keywords: Markowitz Portfolio, Cointegrated Vector Autoregressive Models, BEKK Model

Dynamic Conditional Correlation Analysis of Stock Market Contagion: Evidence from the 2007-2010 Financial Crises,
Zouheir Mighri and Faysal Mansouri, in International Journal of Economics and Financial Issues (2013)
Keywords: Dynamic correlation; DCC-GARCH; contagion; financial crisis; stock markets.

A generic approach to investment modelling in recursive dynamic CGE models,
Hom M Pant, from The Australian National University, Arndt-Corden Department of Economics (2015)
Keywords: recursive dynamic CGE model, static expectation, expected rates of return, investment allocation

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