نتایج جستجو برای: nonparametric approach
تعداد نتایج: 1304156 فیلتر نتایج به سال:
We present a new method for estimating the unobservable drift of risk-neutral spot freight rate process from Forward Freight Agreements (FFA) prices in absence closed-form solution and demonstrate robustness via numerical simulations. Moreover, we conduct empirical experiments involving estimation standard parametric models nonparametric model using Baltic Exchange data. find that our approach ...
Value-at-Risk and its conditional allegory, which takes into account the available information about economic environment, form centrepiece of Basel framework for evaluation market risk in banking sector. A new nonparametric estimating this is presented. approach particularly pertinent as traditionally used parametric distributions have been shown to be insufficiently robust flexible most equit...
We suggest a method for using nonparametric information to modify a parametric model at a low-order level, retaining information in the model only to enhance the nonparametric approach at relatively high orders. Our technique represents an alternative to methods that rst t a parametric model and then adjust it. In particular, relative to a \nonparametric estimator with a parametric start," our ...
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