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Econometrics Paper
Efficient Estimation of a Multivariate Multiplicative Volatility Model Christian M. Hafner and Oliver Linton
October 2009
Paper No' EM/2009/541:
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JEL Classification: C12, C13, C14.


Tags: garch; kernel estimation; local stationarity; semiparametric

Econometrics Paper
ESTIMATION OF A SEMIPARAMETRIC IGARCH(1,1) MODEL Woocheol Kim and Oliver Linton
October 2009
Paper No' EM/2009/539:
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JEL Classification: C14


Tags: inverse problem; instrumental variable; igarch; kernel estimation; nonparametric regression

Econometrics Paper
Nonparametric Regression with a Latent Time Series Oliver Linton, Søren Feodor Nielsen and Jens Perch Nielsen
October 2009
Paper No' EM/2009/538:
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JEL Classification: 62G07


Tags: kernel estimation; forecasting; panel data; unit roots

Econometrics Paper
Nonparametric Estimation of a Polarization Measure Gordon Anderson, Oliver Linton and Yoon-Jae Whang
June 2009
Paper No' EM/2009/534:
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JEL Classification: C12; C13; C14


Tags: kernel estimation; inequality; overlap coefficient; poissonization

Econometrics Paper
Efficient Estimation of a Semiparametric Characteristic-Based Factor Model of Security Returns Gregory Connor, Matthias Hagmann and Oliver Linton October 2007
Paper No' EM/2007/524:
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JEL Classification: G12; C14


Tags: additive models; arbitrage pricing theory; factor model; fama-french; kernel estimation; nonparametric regression; panel data.

Econometrics Paper
Nonparametric Transformation to White Noise Oliver Linton and Enno Mammen
August 2006
Paper No' EM/2006/503:
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JEL Classification: C14


Tags: efficiency; inverse problem; kernel estimation; nonparametric regression; time series; unit roots.

Econometrics Paper
More Efficient Kernel Estimation in Nonparametric Regression with Autocorrelated Errors Raymond J Carroll, Oliver Linton, Enno Mammen and Zhijie Xiao June 2002
Paper No' EM/2002/435:
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Tags: backfitting; efficiency; kernel estimation; time series.

Econometrics Paper
Yield Curve Estimation by Kernel Smoothing Methods Oliver Linton, Enno Mammen, Jens Perch Nielsen and C Tanggaard
April 2000
Paper No' EM/2000/385:
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Tags: coupon bonds; kernel estimation; hilbert space; nonparametric regression; term structure estimation; yield curve; zero coupon.