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时间序列条件方差的半参数估计量AI 解读

We propose a new combined semiparametric estimator, which incorporates the parametric and nonparametric estimators of the conditional variance in a multiplicative way. We derive the asymptotic bias, variance, and normality of the combined estimator under general conditions. We show that under correct parametric specification, our estimator can do as well as the parametric estimator in terms of convergence rates; whereas under parametric misspecification our estimator can…

形状约束下的半参数二元回归及印度入学数据应用AI 解读

We consider estimation of the regression function in a semiparametric binary regression model defined through an appropriate link function (with emphasis on the logistic link) using likelihood-ratio based inversion. The dichotomous response variable [Delta] is influenced by a set of covariates that can be partitioned as (X,Z) where Z (real valued) is the covariate of primary interest and X (vector valued) denotes a set of control variables. For any fixed X, the conditional…

横截面收益排名跳跃与预期收益：一个混合模型AI 解读

Abstract We propose a new nonlinear time series model of expected returns based on the dynamics of the cross‐sectional rank of realized returns. We model the joint dynamics of a sharp jump in the cross‐sectional rank and the asset return by analyzing (1) the marginal probability distribution of a jump in the cross‐sectional rank within the context of a duration model, and (2) the probability distribution of the asset return conditional on a jump, for which we specify…