A Non-Stationary Approach for Financial Returns with Nonparametric Heteroscedasticity

Nonparametric Inference of Value at Risk for Dependent Financial Returns

The paper considers nonparametric estimation of Value at Risk (VaR) and associated standard error estimation for dependent financial returns. Theoretical properties of the kernel VaR estimator are investigated in the context of dependence. The presence of dependence affects the variance of the VaR estimates and has to be taken into consideration in order to obtain adequate assessment of their v...

Nonparametric Rank Tests for Non-Stationary Panels

We develop a set of nonparametric rank tests for non-stationary panels based on multivariate variance ratios which use untruncated kernels. As such, the tests do not require the choice of tuning parameters associated with bandwidth or lag length and also do not require choices with respect to numbers of common factors. The tests allow for unrestricted cross-sectional dependence and dynamic hete...

A Simple Non-Stationary Model for Stock Returns

A Bayesian nonparametric Markovian model for non-stationary time series

Stationary time series models built from parametric distributions are, in general, limited in scope due to the assumptions imposed on the residual distribution and autoregression relationship. We present a modeling approach for univariate time series data, which makes no assumptions of stationarity, and can accommodate complex dynamics and capture non-standard distributions. The model for the t...

a new type-ii fuzzy logic based controller for non-linear dynamical systems with application to 3-psp parallel robot

abstract type-ii fuzzy logic has shown its superiority over traditional fuzzy logic when dealing with uncertainty. type-ii fuzzy logic controllers are however newer and more promising approaches that have been recently applied to various fields due to their significant contribution especially when the noise (as an important instance of uncertainty) emerges. during the design of type- i fuz...