Results 31 to 40 of about 6,488 (205)
A Semiparametric Multilevel Survival Model
Journal of the Royal Statistical Society Series C: Applied Statistics, 2004 SummaryWe propose a semiparametric multilevel survival model for clustered duration data in which the effect of a continuous covariate is represented by an unspecified, possibly non-linear, function. This model makes no distributional assumption about the cluster level random effects.
Zhang, Wenyang, Steele, Fiona
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Discrete Dynamics in Nature and Society, 2019 This article aims to investigate the Value at Risk of basis for stock index futures hedging in China. Since the RS-GARCH model can effectively describe the state transition of variance in VaR and the two-state Markov process can significantly reduce the ...
Liang Wang +3 more
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Estimation of a semiparametric transformation model
The Annals of Statistics, 2008 This paper proposes consistent estimators for transformation parameters in semiparametric models. The problem is to find the optimal transformation into the space of models with a predetermined regression structure like additive or multiplicative separability.
Linton, Oliver +2 more
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Business Strategy and the Environment, EarlyView.ABSTRACT Whether corporate carbon management can enhance productive efficiency is central to firms' long‐term competitiveness and determines whether carbon reduction efforts can be sustained beyond regulatory compliance. This study examines how corporate carbon risk and opportunity management affects firm productivity (measured by total factor ...
Nan Huang, Hanlu Fan, Ruoxin Zhu
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Business Strategy and the Environment, EarlyView.ABSTRACT Small enterprises (SEs) constitute a major component of economic systems, and their socio‐environmental commitment is critical for promoting societal well‐being. This paper examines the direct effect of sound financial practices on socio‐environmental commitment and evaluates the mediating role of financial constraints—specifically debt and ...
Marcos Álvarez‐Espiño +2 more
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International VaR approach: Backtesting for different capital markets
Revista Contabilidade & Finanças, 2019 This article aims to compare distinct metrics of the value at risk (VaR), differing from prior studies with respect about compare three asset categories belonging to seven countries.
Marília Cordeiro Pinheiro +1 more
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Hidden Markov graphical models with state‐dependent generalized hyperbolic distributions
Canadian Journal of Statistics, EarlyView.Abstract In this article, we develop a novel hidden Markov graphical model to investigate time‐varying interconnectedness between different financial markets. To identify conditional correlation structures under varying market conditions and accommodate shape features embedded in financial time series, we rely upon the generalized hyperbolic family of ...
Beatrice Foroni +2 more
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Model Averaging with AIC Weights for Hypothesis Testing of Hormesis at Low Doses
Dose-Response, 2017 For many dose–response studies, large samples are not available. Particularly, when the outcome of interest is binary rather than continuous, a large sample size is required to provide evidence for hormesis at low doses. In a small or moderate sample, we
Steven B. Kim, Nathan Sanders
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Semiparametric latent factor models. [PDF]
, 2005 We propose a semiparametric model for regression problems involving multiple response variables. The model makes use of a set of Gaussian processes that are linearly mixed to capture dependencies that may exist among the response variables. We propose an efficient approximate inference scheme for this semiparametric model whose complexity is linear in ...
Teh, Yee-Whye +2 more
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RECURSIVE DIFFERENCING FOR ESTIMATING SEMIPARAMETRIC MODELS
Econometric Theory, 2022 Controlling the bias is central to estimating semiparametric models. Many methods have been developed to control bias in estimating conditional expectations while maintaining a desirable variance order. However, these methods typically do not perform well at moderate sample sizes.
Chan Shen, Roger Klein
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