Nonparametric methods provide a flexible framework for estimating the probability density function of random variables without imposing a strict parametric model. By relying directly on observed data, ...

The Econometrics Journal, Vol. 13, No. 3, Recent developments in structural microeconometrics (2010), pp. S1-S27 (27 pages) ...

We introduce a non-parametric estimator of the diffusion coefficient of a diffusion process using a projection method on a wavelets orthonormal basis of L2( R). The ...

Mitchell Grant is a self-taught investor with over 5 years of experience as a financial trader. He is a financial content strategist and creative content editor. Timothy Li is a consultant, accountant ...

Operational risk reserves are still widely estimated using the loss distribution approach. The accuracy of the estimation depends heavily on the accuracy with which the extreme quantiles of the ...