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Abstract. We present a novel semiparametric survival model with a log-linear median regression function. As a useful alternative to existing semiparametric models, our large model class has many ...
Chunrong Ai, A Semiparametric Maximum Likelihood Estimator, Econometrica, Vol. 65, No. 4 (Jul., 1997), pp. 933-963 Link account to institutional access Save and organize content with Workspace ...
We propose a framework for making Bayesian parametric models robust to local misspecification. Suppose in a baseline parametric model, a parameter of interest has an interpretation in an encompassing ...
The filtered semiparametric approach outperforms parametric GARCH-type models at high VaR confidence levels for long positions. Abstract The Covid-19 pandemic has set the stage for greater volatility ...