A Bayesian approach to bandwidth selection for multivariate kernel regression with an application to state-price density estimation (Q2630081): Difference between revisions

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scientific article

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English	A Bayesian approach to bandwidth selection for multivariate kernel regression with an application to state-price density estimation	scientific article

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instance of

scholarly article

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title

A Bayesian approach to bandwidth selection for multivariate kernel regression with an application to state-price density estimation (English)

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zbMATH Open document ID

1431.62176

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DOI

10.1016/j.jeconom.2009.04.004

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Journal of Econometrics

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publication date

25 July 2016

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full work available at URL

http://www.buseco.monash.edu.au/ebs/pubs/wpapers/2007/wp11-07.pdf

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Mathematics Subject Classification ID

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Black-Scholes formula

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bootstrapping

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cross validation

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Markov chain Monte Carlo

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time to maturity

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describes a project that uses

KernSmooth

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pyuvdata

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MaRDI profile type

MaRDI publication profile

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OpenAlex ID

W2019260307

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cites work

Goodness-of-fit tests for kernel regression with an application to option implied volatilities

0 references

Nonparametric option pricing under shape restrictions

0 references

Nonparametric risk management and implied risk aversion

0 references

The Pricing of Options and Corporate Liabilities

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Q4365239

0 references

American options with stochastic dividends and volatility: a nonparametric investigation

0 references

Inference Concerning the Number of Factors in a Multivariate Nonparametric Relationship

0 references

Plug-in bandwidth matrices for bivariate kernel density estimation

0 references

Q4524036

0 references

Financial crashes as endogenous jumps: estimation, testing and forecasting

0 references

On bandwidth choice in nonparametric regression with both short- and long-range dependent errors

0 references

Q3999325

0 references

Bootstrapping in Nonparametric Regression: Local Adaptive Smoothing and Confidence Bands

0 references

How Far Are Automatically Chosen Regression Smoothing Parameters From Their Optimum?

0 references

Optimal bandwidth selection in nonparametric regression function estimation

0 references

0 references

0 references

0 references

0 references

Exchange rates and interest rates: can term structure models explain currency movements?

0 references

A Brief Survey of Bandwidth Selection for Density Estimation

0 references

Stochastic Volatility: Likelihood Inference and Comparison with ARCH Models

0 references

THE UNIQUENESS OF CROSS-VALIDATION SELECTED SMOOTHING PARAMETERS IN KERNEL ESTIMATION OF NONPARAMETRIC MODELS

0 references

A comparison of cross-validation techniques in density estimation

0 references

Q4905685

0 references

Q4865936

0 references

Cross-Validation of Multivariate Densities

0 references

Q4863755

0 references

Likelihood analysis of non-Gaussian measurement time series

0 references

Q4727203

0 references

Estimation of hyperbolic diffusion using the Markov chain Monte Carlo method

0 references

Multivariate plug-in bandwidth selection

0 references

Q4865051

0 references

Nonparametric state price density estimation using constrained least squares and the bootstrap

0 references

A Bayesian approach to bandwidth selection for multivariate kernel density estimation

0 references

Sitelinks

Mathematics(1 entry)

mardi Publication:2630081

@@ Property / cites work @@
+Goodness-of-fit tests for kernel regression with an application to option implied volatilities
+Normal rank
@@ Property / cites work @@
+Nonparametric option pricing under shape restrictions
+Normal rank
@@ Property / cites work @@
+Nonparametric risk management and implied risk aversion
+Normal rank
@@ Property / cites work @@
+The Pricing of Options and Corporate Liabilities
@@ Property / cites work: The Pricing of Options and Corporate Liabilities / rank @@
+Normal rank
@@ Property / cites work @@
+Q4365239
@@ Property / cites work: Q4365239 / rank @@
+Normal rank
@@ Property / cites work @@
+American options with stochastic dividends and volatility: a nonparametric investigation
+Normal rank
@@ Property / cites work @@
+Inference Concerning the Number of Factors in a Multivariate Nonparametric Relationship
+Normal rank
@@ Property / cites work @@
+Plug-in bandwidth matrices for bivariate kernel density estimation
+Normal rank
@@ Property / cites work @@
+Q4524036
@@ Property / cites work: Q4524036 / rank @@
+Normal rank
@@ Property / cites work @@
+Financial crashes as endogenous jumps: estimation, testing and forecasting
+Normal rank
@@ Property / cites work @@
+On bandwidth choice in nonparametric regression with both short- and long-range dependent errors
+Normal rank
@@ Property / cites work @@
+Q3999325
@@ Property / cites work: Q3999325 / rank @@
+Normal rank
@@ Property / cites work @@
+Bootstrapping in Nonparametric Regression: Local Adaptive Smoothing and Confidence Bands
+Normal rank
@@ Property / cites work @@
+How Far Are Automatically Chosen Regression Smoothing Parameters From Their Optimum?
+Normal rank
@@ Property / cites work @@
+Optimal bandwidth selection in nonparametric regression function estimation
+Normal rank
@@ Property / cites work @@
+Q4524039
@@ Property / cites work: Q4524039 / rank @@
+Normal rank
@@ Property / cites work @@
+Q4524031
@@ Property / cites work: Q4524031 / rank @@
+Normal rank
@@ Property / cites work @@
+Q4322328
@@ Property / cites work: Q4322328 / rank @@
+Normal rank
@@ Property / cites work @@
+Q4543483
@@ Property / cites work: Q4543483 / rank @@
+Normal rank
@@ Property / cites work @@
+Exchange rates and interest rates: can term structure models explain currency movements?
+Normal rank
@@ Property / cites work @@
+A Brief Survey of Bandwidth Selection for Density Estimation
+Normal rank
@@ Property / cites work @@
+Stochastic Volatility: Likelihood Inference and Comparison with ARCH Models
+Normal rank
@@ Property / cites work @@
+THE UNIQUENESS OF CROSS-VALIDATION SELECTED SMOOTHING PARAMETERS IN KERNEL ESTIMATION OF NONPARAMETRIC MODELS
+Normal rank
@@ Property / cites work @@
+A comparison of cross-validation techniques in density estimation
+Normal rank
@@ Property / cites work @@
+Q4905685
@@ Property / cites work: Q4905685 / rank @@
+Normal rank
@@ Property / cites work @@
+Q4865936
@@ Property / cites work: Q4865936 / rank @@
+Normal rank
@@ Property / cites work @@
+Cross-Validation of Multivariate Densities
@@ Property / cites work: Cross-Validation of Multivariate Densities / rank @@
+Normal rank
@@ Property / cites work @@
+Q4863755
@@ Property / cites work: Q4863755 / rank @@
+Normal rank
@@ Property / cites work @@
+Likelihood analysis of non-Gaussian measurement time series
+Normal rank
@@ Property / cites work @@
+Q4727203
@@ Property / cites work: Q4727203 / rank @@
+Normal rank
@@ Property / cites work @@
+Estimation of hyperbolic diffusion using the Markov chain Monte Carlo method
+Normal rank
@@ Property / cites work @@
+Multivariate plug-in bandwidth selection
@@ Property / cites work: Multivariate plug-in bandwidth selection / rank @@
+Normal rank
@@ Property / cites work @@
+Q4865051
@@ Property / cites work: Q4865051 / rank @@
+Normal rank
@@ Property / cites work @@
+Nonparametric state price density estimation using constrained least squares and the bootstrap
+Normal rank
@@ Property / cites work @@
+A Bayesian approach to bandwidth selection for multivariate kernel density estimation
+Normal rank