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Filtering by: Advisor Martins-Filho, Carlos Remove constraint Advisor: Martins-Filho, Carlos Degree Level Doctoral Remove constraint Degree Level: Doctoral Subject Econometric models Remove constraint Subject: Econometric models

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  • Three essays on nonparametric and semiparametric regression models

    Creator:
    Yao, Feng
    Abstract:
    This dissertation contains three essays on nonprametric and semiparametric regression mod- In the first essay, we propose an estimation procedure for value at risk (VaR) and expected shortfall (TailVaR.) for conditional distributions of a time series of returns on a financial asset. Our approach combines a local polynomial estimator of...
    Resource Type:
    Dissertation
    Full Text:
    Semiparametric Regression Models. Abstract Approved: els. Filho This dissertation contains three essays on