-
2
-
-
0001110699
-
On bandwidth variation in kernel estimates-a square root law
-
Abramson I.S. On bandwidth variation in kernel estimates-a square root law. The Annals of Statistics 10 (1982) 1217-1223
-
(1982)
The Annals of Statistics
, vol.10
, pp. 1217-1223
-
-
Abramson, I.S.1
-
3
-
-
0030369366
-
Nonparametric pricing of interest rate derivative securities
-
Ai{dotless}̈t-Sahalia Y. Nonparametric pricing of interest rate derivative securities. Econometrica 64 (1996) 527-560
-
(1996)
Econometrica
, vol.64
, pp. 527-560
-
-
Aït-Sahalia, Y.1
-
4
-
-
0242670422
-
Continuous-time models of the spot interest rate
-
Ai{dotless}̈t-Sahalia Y. Continuous-time models of the spot interest rate. The Review of Financial Studies 9 (1996) 385-426
-
(1996)
The Review of Financial Studies
, vol.9
, pp. 385-426
-
-
Aït-Sahalia, Y.1
-
5
-
-
0000797991
-
On some global measures of the deviations of density function estimates
-
Bickel P.J., and Rosenblatt M. On some global measures of the deviations of density function estimates. The Annals of Statistics 1 (1973) 1071-1095
-
(1973)
The Annals of Statistics
, vol.1
, pp. 1071-1095
-
-
Bickel, P.J.1
Rosenblatt, M.2
-
7
-
-
17444384527
-
Consistency of asymmetric kernel density estimators and smoothed histograms with application to income data
-
Bouezmarni T., and Scaillet O. Consistency of asymmetric kernel density estimators and smoothed histograms with application to income data. Econometric Theory 21 (2005) 390-412
-
(2005)
Econometric Theory
, vol.21
, pp. 390-412
-
-
Bouezmarni, T.1
Scaillet, O.2
-
11
-
-
34247111159
-
Measurement of inequality
-
Atkinson A., and Bourguignon F. (Eds), North-Holland, Amsterdam
-
Cowell F. Measurement of inequality. In: Atkinson A., and Bourguignon F. (Eds). Handbook of Income Distribution (1999), North-Holland, Amsterdam
-
(1999)
Handbook of Income Distribution
-
-
Cowell, F.1
-
12
-
-
2542475361
-
Income distribution in Brazil 1981-1990: parametric and non-parametric approaches
-
Cowell F., Ferreira F., and Litchfield J. Income distribution in Brazil 1981-1990: parametric and non-parametric approaches. Journal of Income Distribution 8 (1998) 63-76
-
(1998)
Journal of Income Distribution
, vol.8
, pp. 63-76
-
-
Cowell, F.1
Ferreira, F.2
Litchfield, J.3
-
13
-
-
0001205798
-
A theory of the term structure of interest rates
-
Cox J.C., Ingersoll J.E., and Ross S.A. A theory of the term structure of interest rates. Econometrica 53 (1985) 385-408
-
(1985)
Econometrica
, vol.53
, pp. 385-408
-
-
Cox, J.C.1
Ingersoll, J.E.2
Ross, S.A.3
-
14
-
-
0001905231
-
The econometrics of ultra-high frequency data
-
Engle R.F. The econometrics of ultra-high frequency data. Econometrica 68 (2000) 1-22
-
(2000)
Econometrica
, vol.68
, pp. 1-22
-
-
Engle, R.F.1
-
15
-
-
0011062891
-
Bootstrapping a consistent nonparametric goodness-of-fit test
-
Fan Y. Bootstrapping a consistent nonparametric goodness-of-fit test. Econometric Reviews 14 (1995) 367-382
-
(1995)
Econometric Reviews
, vol.14
, pp. 367-382
-
-
Fan, Y.1
-
16
-
-
0032342961
-
Goodness-of-fit tests based on kernel density estimators with fixed smoothing parameters
-
Fan Y. Goodness-of-fit tests based on kernel density estimators with fixed smoothing parameters. Econometric Theory 14 (1998) 604-621
-
(1998)
Econometric Theory
, vol.14
, pp. 604-621
-
-
Fan, Y.1
-
17
-
-
21144469140
-
Variable bandwidth and local linear regression smoothers
-
Fan J., and Gijbels I. Variable bandwidth and local linear regression smoothers. The Annals of Statistics 20 (1992) 2008-2036
-
(1992)
The Annals of Statistics
, vol.20
, pp. 2008-2036
-
-
Fan, J.1
Gijbels, I.2
-
19
-
-
15944387432
-
Nonparametric specification tests for conditional duration models
-
Fernandes M., and Grammig J. Nonparametric specification tests for conditional duration models. Journal of Econometrics 127 (2005) 35-68
-
(2005)
Journal of Econometrics
, vol.127
, pp. 35-68
-
-
Fernandes, M.1
Grammig, J.2
-
21
-
-
34548702024
-
-
Gouriéroux, Ch., Jasiak, J., 2001. Local likelihood density estimation and value at risk. Discussion Paper CREST and CEPREMAP.
-
-
-
-
23
-
-
0041757246
-
Local nonlinear least squares: using parametric information in nonparametric regression
-
Gozalo P., and Linton O.B. Local nonlinear least squares: using parametric information in nonparametric regression. Journal of Econometrics 99 (2000) 63-106
-
(2000)
Journal of Econometrics
, vol.99
, pp. 63-106
-
-
Gozalo, P.1
Linton, O.B.2
-
24
-
-
34548691043
-
-
Hagmann, M., Scaillet, O., 2003. Local multiplicative bias correction for asymmetric kernel density estimators. FAME Working Paper 91.
-
-
-
-
25
-
-
34548693672
-
Estimation of recovery rate densities: non-parametric and semi-parametric approaches versus industry practice
-
Resti A., Sironi A., and Altman E. (Eds), Risk Publications, London
-
Hagmann M., Renault O., and Scaillet O. Estimation of recovery rate densities: non-parametric and semi-parametric approaches versus industry practice. In: Resti A., Sironi A., and Altman E. (Eds). Recovery Risk: The Next Challenge in Credit Risk Management (2005), Risk Publications, London 323-346
-
(2005)
Recovery Risk: The Next Challenge in Credit Risk Management
, pp. 323-346
-
-
Hagmann, M.1
Renault, O.2
Scaillet, O.3
-
26
-
-
0001077759
-
Nonparametric density estimation with a parametric start
-
Hjort N.L., and Glad I.K. Nonparametric density estimation with a parametric start. The Annals of Statistics 24 (1995) 882-904
-
(1995)
The Annals of Statistics
, vol.24
, pp. 882-904
-
-
Hjort, N.L.1
Glad, I.K.2
-
27
-
-
0030367069
-
Locally parametric nonparametric density estimation
-
Hjort N.L., and Jones M.C. Locally parametric nonparametric density estimation. The Annals of Statistics 24 (1996) 1619-1647
-
(1996)
The Annals of Statistics
, vol.24
, pp. 1619-1647
-
-
Hjort, N.L.1
Jones, M.C.2
-
29
-
-
0000362452
-
Simple boundary correction for kernel density estimation
-
Jones M.C. Simple boundary correction for kernel density estimation. Statistics and Computing 3 (1993) 135-146
-
(1993)
Statistics and Computing
, vol.3
, pp. 135-146
-
-
Jones, M.C.1
-
30
-
-
21444452106
-
A simple nonnegative boundary correction method for kernel density estimation
-
Jones M.C., and Foster P. A simple nonnegative boundary correction method for kernel density estimation. Statistica Sinica 6 (1996) 1005-1013
-
(1996)
Statistica Sinica
, vol.6
, pp. 1005-1013
-
-
Jones, M.C.1
Foster, P.2
-
31
-
-
0000431859
-
A simple but effective bias reduction method for density and regression estimation
-
Jones M.C., Linton O.B., and Nielsen J.P. A simple but effective bias reduction method for density and regression estimation. Biometrika 82 (1995) 327-338
-
(1995)
Biometrika
, vol.82
, pp. 327-338
-
-
Jones, M.C.1
Linton, O.B.2
Nielsen, J.P.3
-
34
-
-
34548692546
-
-
Linton, O.B., Pakes, A., 2001. Nonlinear estimators in econometrics, manuscript, London School of Economics and Political Science.
-
-
-
-
35
-
-
0030372807
-
Local likelihood density estimation
-
Loader C.R. Local likelihood density estimation. The Annals of Statistics 24 (1996) 1602-1618
-
(1996)
The Annals of Statistics
, vol.24
, pp. 1602-1618
-
-
Loader, C.R.1
-
36
-
-
0000423464
-
Smooth optimum kernel estimators near endpoints
-
Müller H. Smooth optimum kernel estimators near endpoints. Biometrika 78 (1991) 520-521
-
(1991)
Biometrika
, vol.78
, pp. 520-521
-
-
Müller, H.1
-
37
-
-
6444225982
-
On the way to recovery: a nonparametric bias free estimation of recovery rate densities
-
Renault O., and Scaillet O. On the way to recovery: a nonparametric bias free estimation of recovery rate densities. Journal of Banking and Finance 28 (2004) 2915-2931
-
(2004)
Journal of Banking and Finance
, vol.28
, pp. 2915-2931
-
-
Renault, O.1
Scaillet, O.2
-
39
-
-
33748225489
-
Remarks on some nonparametric estimates of a density function
-
Rosenblatt M. Remarks on some nonparametric estimates of a density function. The Annals of Mathematical Statistics 27 (1956) 642-669
-
(1956)
The Annals of Mathematical Statistics
, vol.27
, pp. 642-669
-
-
Rosenblatt, M.1
-
40
-
-
0842285869
-
Density estimation using inverse and reciprocal inverse Gaussian kernels
-
Scaillet O. Density estimation using inverse and reciprocal inverse Gaussian kernels. Journal of Nonparametric Statistics 16 (2004) 217-226
-
(2004)
Journal of Nonparametric Statistics
, vol.16
, pp. 217-226
-
-
Scaillet, O.1
-
41
-
-
84948304931
-
Incorporating support constraints into nonparametric estimators of densities
-
Schuster E. Incorporating support constraints into nonparametric estimators of densities. Communications in Statistics: Theory and Methods (1985) 1123-1136
-
(1985)
Communications in Statistics: Theory and Methods
, pp. 1123-1136
-
-
Schuster, E.1
-
43
-
-
34548699140
-
-
Tyurin, K., 2003. Competing risks and the order flow dynamics in FOREX electronic brokerage. Discussion Paper, Indiana University.
-
-
-
-
44
-
-
0002644952
-
Maximum likelihood estimation of misspecified models
-
White H. Maximum likelihood estimation of misspecified models. Econometrica 50 (1982) 1-26
-
(1982)
Econometrica
, vol.50
, pp. 1-26
-
-
White, H.1
|