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Nonparametric Instrumental Variables Estimation
Instrumental Variables Estimation
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2014/9/10
In many economic models, objects of interest are functions which satisfy conditional moment restrictions. Economics does not restrict the functional form of these models, motivating nonparametric meth...
Intersection Bounds: Estimation and Inference
Bound analysis conditional moments
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2014/9/10
We develop a practical and novel method for inference on intersection bounds, namely bounds defined by either the infimum or supremum of a parametric or nonparametric function, or, equivalently, the v...
An Estimation of U.S. Gasoline Demand: A Smooth Time-Varying Cointegration Approach
Gasoline demand Time-varying coefficient Cointegration Canonical coin-tegration regression Error-correction model deadweight loss
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2011/4/2
In this paper the U.S. gasoline demand from 1976 to 2008 is estimated using a time-varying cointegrating regression.
A dynamic hybrid model based on wavelets and fuzzy regression for time series estimation
Financial time series Wavelet decomposition Fuzzy regression SP500 index
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2011/3/23
In the present paper, a fuzzy logic based method is combined with wavelet decomposition to develop a step-by-step dynamic hybrid model for the estimation of financial time series. Empirical tests on f...
Wavelet Based Volatility Clustering Estimation of Foreign Exchange Rates
Time-Scale analysis Intermittency Nonlinearity and Chaos
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2010/11/2
We have presented a novel technique of detecting intermittencies in a financial time series of the foreign exchange rate data of U.S.- Euro dollar( US/EUR) using a combination of both statistical and ...
Nonparametric estimation of conditional VaR and expected shortfall
Boundary effects, Empirical likelihood, Expected shortfall, Local linear estimation,Nonparametric smoothing, Value-at-risk, Weighted double kernel
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2011/4/2
This paper considers a new nonparametric estimation of conditional value-at-risk and expected shortfall functions. Conditional value-at-risk is estimated by inverting the weighted double kernel local ...
Log-Normal continuous cascades: aggregation properties and estimation. Application to financial time-series
Log-Normal continuous cascades aggregation properties estimation Application financial time-series
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2010/12/17
Log-normal continuous random cascades form a class of multifractal processes that has already been successfully used in various fields. Several statistical issues related to this model are studied. W...
Nonparametric Estimation of State-Price Densities Implicit in Financial Asset Prices
Nonparametric Estimation State-Price Densities Implicit Financial Asset Prices
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2014/3/13
Nonparametric Estimation of State-Price Densities Implicit in Financial Asset Prices.