Estimating risk‐neutral freight rate dynamics: A nonparametric approach

Estimating Rate Equations Using Nonparametric Regression Methods

A Nonparametric Approach to Estimating Divergence Times in the Absence of Rate Constancy

A new method for estimating divergence times when evolutionary rates are variable across lineages is proposed. The method, called nonparametric rate smoothing (NPRS), relies on minimization of ancestor-descendant local rate changes and is motivated by the likelihood that evolutionary rates are autocorrelated in time. Fossil information pertaining to minimum and/or maximum ages of nodes in a phy...

Nonparametric conditional hazard rate estimation: A local linear approach

Parametric and semiparametric methods often fail to capture the right shape of the conditional hazard rate in survival analysis. In this paper we propose a new and intuitive nonparametric estimator for the conditional hazard rate, based on local linear estimation techniques. This estimator can deal with both censored and uncensored data. We show that the local linear hazard rate estimator is co...

A nonparametric approach to estimate volatility and correlation dynamics

We evaluate the performance of a nonparametric method based on Fourier analysis to estimate volatility and correlation as functions of time. Being based on integration rather than on differentiation, the method naturally exploits the inhomogeneous time structure of the high frequency prices and does not required any prior data manipulation. Through Monte Carlo experiments, we show that the meth...

Modeling U�S� Inflation Dynamics: A Bayesian Nonparametric Approach

The Rimini Centre for Economic Analysis (RCEA) was established in March 2007. RCEA is a private, nonprofit organization dedicated to independent research in Applied and Theoretical Economics and related fields. RCEA organizes seminars and workshops, sponsors a general interest journal The Review of Economic Analysis, and organizes a biennial conference: The Rimini Conference in Economics and Fi...