Examining heterogeneity in implied equity risk premium using penalized splines

DOI10.1007/s10182-007-0052-zzbMath1171.62025OpenAlexW2079606058MaRDI QIDQ732231

Göran Kauermann, Michael Wegener

Publication date: 9 October 2009

Published in: AStA. Advances in Statistical Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10182-007-0052-z

zbMATH Keywords

linear mixed modelsnonparametric estimationpenalized splinesequity risk premiumsubject-specific curves

Mathematics Subject Classification ID

Nonparametric regression and quantile regression (62G08) Estimation in multivariate analysis (62H12) Applications of statistics to actuarial sciences and financial mathematics (62P05)

Related Items

A semiparametric nonlinear mixed model approach to phase I profile monitoring

Cites Work

• Local polynomial estimators of the volatility function in nonparametric autoregression
• Nonparametric regression with correlated errors.
• That BLUP is a good thing: The estimation of random effects. With comments and a rejoinder by the author
• Flexible smoothing with \(B\)-splines and penalties. With comments and a rejoinder by the authors
• Nonparametric and semiparametric models.
• Smoothing and mixed models
• Simple Incorporation of Interactions into Additive Models
• Nonparametric Estimation and Identification of Nonlinear ARCH Time Series Strong Convergence and Asymptotic Normality: Strong Convergence and Asymptotic Normality
• ASSESSING THE RELATIONSHIP BETWEEN SYMPTOMS OF ALLERGIC RHINOCONJUNCTIVITIS AND POLLEN COUNTS
• A Note on Penalized Spline Smoothing With Correlated Errors
• Smoothing Spline Models with Correlated Random Errors
• Semiparametric Regression
• Model Selection and Multimodel Inference
• Yield curve estimation by kernel smoothing methods
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item