Estimating population average treatment effects from experiments with noncompliance
Journal of Causal Inference, 2020 Randomized control trials (RCTs) are the gold standard for estimating causal effects, but often use samples that are non-representative of the actual population of interest.
Ottoboni Kellie N., Poulos Jason V.
doaj +1 more source
Bias-correcting the realized range-based variance in the presence of market microstructure noise [PDF]
, 2006 Bias correction, Integrated variance, Market microstructure noise, Realized range-based variance, Realized variance, 62E20, 62P20, C10, C80,
Kim Christensen +5 more
core +1 more source
Bayesian estimation of generalized partition of unity copulas
Dependence Modeling, 2020 This paper proposes a Bayesian estimation algorithm to estimate Generalized Partition of Unity Copulas (GPUC), a class of nonparametric copulas recently introduced by [18].
Masuhr Andreas, Trede Mark
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Identification and Estimation of Intensive Margin Effects by Difference-in-Difference Methods
Journal of Causal Inference, 2020 This paper discusses identification and estimation of causal intensive margin effects. The causal intensive margin effect is defined as the treatment effect on the outcome of individuals with a positive outcome irrespective of whether they are treated or
Hersche Markus, Moor Elias
doaj +1 more source
Parametric Lorenz curves based on the beta system of distributions
, 2021 Some families of Lorenz curves only approximate specific segments of the income distribution. This potential limitation motivates the consideration of more flexible models, which depart from a convenient form of the Lorenz curve.
Jordá, Vanesa +2 more
core +1 more source
Volatility filtering in estimation of kurtosis (and variance)
Dependence Modeling, 2019 The kurtosis of the distribution of financial returns characterized by high volatility persistence and thick tails is notoriously difficult to estimate precisely.
Anatolyev Stanislav
doaj +1 more source
A Benchmark Approach to Portfolio Optimization under Partial Information [PDF]
, 2007 Portfolio optimization, Partial information, Filtering, Growth optimal portfolio, Expected utility maximization, Utility indifference pricing, Real world pricing formula, G10, G13, Primary 90A12, Secondary 60G30, 62P20,
Runggaldier, WJ +5 more
core +1 more source
Prediction of time series by statistical learning: general losses and fast rates
Dependence Modeling, 2013 We establish rates of convergences in statistical learning for time series forecasting. Using the PAC-Bayesian approach, slow rates of convergence √ d/n for the Gibbs estimator under the absolute loss were given in a previous work [7], where n is the ...
Alquier Pierre +2 more
doaj +1 more source
Bootstrapping cointegration tests under structural co-breaks: A robust extended ECM test
, 2006 Bootstrap, structural breaks, cointegration testing, extended error correction model, co-breaks, 62M10, 91B84, 62F40, 82C80, 62F03, 62P20,
Alvaro Escribano +3 more
core +1 more source
Zero-intelligence realized variance estimation
, 2010 Limit order book, Market microstructure noise, Micro-price, Realized variance, Sampling schemes, 62E20, 62P20, C10, C80,
Gatheral, J. +3 more
core +1 more source