Nonparametric methods provide a flexible framework for estimating the probability density function of random variables without imposing a strict parametric model. By relying directly on observed data, ...
The covariance matrix of asset returns is the key input for many problems in finance and economics. This paper introduces a Bayesian nonparametric method to estimate the ex post covariance matrix from ...
The Canadian Journal of Statistics / La Revue Canadienne de Statistique, Vol. 34, No. 4 (Dec., 2006), pp. 535-561 (27 pages) The authors propose a new monotone nonparametric estimate for a regression ...
This chapter provides a review of various AADT estimation methods available in the literature and presents relevant findings, strengths, and weaknesses, as well as an assessment of the methods based ...
Value-at-risk (VaR) is one of the most common risk measures used in finance. The correct estimation of VaR is essential for any financial institution, in order to arrive at the accurate capital ...
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