Results 41 to 50 of about 19,219 (292)
Efficient estimation of semiparametric conditional moment models with possibly nonsmooth residuals [PDF]
This paper considers semiparametric efficient estimation of conditional moment models with possibly nonsmooth residuals in unknown parametric components (Θ) and unknown functions (h)of endogenous variables.
Demian Pouzo, Xiaohong Chen
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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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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
wiley +1 more source
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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Copula‐based joint modelling of emergency department visits with time‐varying dependence
Canadian Journal of Statistics, EarlyView.Abstract Jointly modelling multiple correlated count time series is essential in health services research, where outcomes like emergency visits for mental health and substance use often evolve together. Ignoring these dependencies can obscure meaningful trends and limit the effectiveness of policy evaluation.
Guanjie Lyu, Cindy Feng, Lihui Liu
wiley +1 more source
Trakya Üniversitesi İktisadi ve İdari Bilimler Fakültesi E-DergiThe growth of cities is closely linked to the overall economic growth of nations. Especially in urban planning, predicting and modelling the growth trajectory of cities is crucial for ensuring sustainable economic growth.
Şaban Kızılarslan, Mustafa Zuhal
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Risk Forecasting in Shipping Exchange‐Traded‐Fund (ETF) Markets
International Journal of Finance &Economics, EarlyView.ABSTRACT This article examines the risk properties of freight‐derivative‐based exchange‐traded funds (ETFs), focusing on the Breakwave Dry Bulk Shipping ETF (BDRY), and evaluates the accuracy of Value‐at‐Risk (VaR) and Expected Shortfall (ES) forecasts across a range of econometric models.
Christos Katris +2 more
wiley +1 more source
On Semiparametric Exponential Family Graphical Models
J. Mach. Learn. Res., 2014 51 pages, 2 ...
Zhuoran Yang, Yang Ning, Han Liu 0001
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A General Nonlinear Multilevel Structural Equation Mixture Model
Frontiers in Psychology, 2014 In the past 2 decades latent variable modeling has become a standard tool in the social sciences. In the same time period, traditional linear structural equation models have been extended to include nonlinear interaction and quadratic effects (e.g ...
Augustin eKelava, Holger eBrandt
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Bayesian Bandwidths in Semiparametric Modelling for Nonnegative Orthant Data with Diagnostics [PDF]
, 2021 Célestin C. Kokonendji, Sobom M. Somé
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