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Estimating correlation from high, low, opening and closing prices
Estimating correlation high low opening closing prices
2010/12/17
In earlier studies, the estimation of the volatility of a stock using information on the daily opening, closing, high and low prices has been developed; the additional information in the high and low...
Money Demand in General Equilibrium Endogenous Growth: Estimating the Role of a Variable Interest Elasticity
Money demand interest elasticity exchange credit cash-in-advance
2010/9/7
The paper presents and tests a theory of the demand for money that is derived from a general equilibrium,endogenous growth economy, which in effect combines a special case of the shopping time exchang...
Estimating financial risk measures for futures positions: a non-parametric approach
spectral risk alternative measures financial risk
2011/3/31
This paper presents non-parametric estimates of spectral risk measures applied to long and short positions in 5 prominent equity futures contracts. It also compares these to estimates of two popular a...
Nonparametric Methods for Estimating Conditional VaR and Expected Shortfall
Bandwidth selection Boundary effects Coherent risk measurements Empirical likelihood Expected shortfall Local liner estimation Nonparametric smoothing Quantile regression Time series Value-at-risk Weighted double kernel
2011/4/6
In this article we propose a new nonparametric estimation method to estimate the
conditional value-at-risk and expected shortfall functions based on the weighted double
kernel local linear estimator...
Estimating Continuous-Time Models Using Discretely Sampled Data
Continuous-Time Models Discretely Sampled Data
2014/3/13
Estimating Continuous-Time Models Using Discretely Sampled Data.
The Effects of Random and Discrete Sampling When Estimating Continuous-Time Diffusions
The Effects of Random Discrete Sampling Estimating Continuous-Time Diffusions
2014/3/13
The Effects of Random and Discrete Sampling When Estimating Continuous-Time Diffusions.
ESTIMATING DETERMINISTIC TRENDS IN THE PRESENCE OF SERIALLY CORRELATED ERRORS
DETERMINISTIC TRENDS PRESENCE OF SERIALLY CORRELATED ERRORS
2014/3/18
This paper studies the problems of estimation and inference in the linear trend model yt = a + P3t + ut, where ut follows an autoregressive process with largest root p and , is...