Nonparametric estimation of structural models for high-frequency currency market data

Nonparametric Regression Estimation under Kernel Polynomial Model for Unstructured Data

The nonparametric estimation(NE) of kernel polynomial regression (KPR) model is a powerful tool to visually depict the effect of covariates on response variable, when there exist unstructured and heterogeneous data. In this paper we introduce KPR model that is the mixture of nonparametric regression models with bootstrap algorithm, which is considered in a heterogeneous and unstructured framewo...

Nonparametric estimation of time-changed Lévy models under high-frequency data

Let {Zt}t≥0 be a Lévy process with Lévy measure ν and let τ(t) = ∫ t 0 r(u)du where {r(t)}t≥0 is a positive ergodic diffusion independent from Z. Based upon discrete observations of the time-changed Lévy process Xt := Zτt during a time interval [0, T ], we study the asymptotic properties of certain estimators of the parameters β(φ) := ∫ φ(x)ν(dx), which in turn are well-known to be the building...

Estimation of Continuous–Time Financial Models Using High–Frequency Data

a new approach to credibility premium for zero-inflated poisson models for panel data

هدف اصلی از این تحقیق به دست آوردن و مقایسه حق بیمه باورمندی در مدل های شمارشی گزارش نشده برای داده های طولی می باشد. در این تحقیق حق بیمه های پبش گویی بر اساس توابع ضرر مربع خطا و نمایی محاسبه شده و با هم مقایسه می شود. تمایل به گرفتن پاداش و جایزه یکی از دلایل مهم برای گزارش ندادن تصادفات می باشد و افراد برای استفاده از تخفیف اغلب از گزارش تصادفات با هزینه پائین خودداری می کنند، در این تحقیق ...

Nonparametric Estimation for Pure Jump Lévy Processes Based on High Frequency Data

Abstract. In this paper, we study nonparametric estimation of the Lévy density for pure jump Lévy processes. We consider n discrete time observations with step ∆. The asymptotic framework is: n tends to infinity, ∆ = ∆n tends to zero while n∆n tends to infinity. First, we use a Fourier approach (“frequency domain”): this allows to construct an adaptive nonparametric estimator and to provide a b...