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D. Giannone, ULB and A. Daouia, UCL Print
Friday, 08 March 2013, 14:00 - 17:00

14:30 - 15:30 : Abdelaati Daouia, UCL

On kernel smoothing for extremal quantile regression.

Abstract: Nonparametric regression quantiles obtained by inverting a kernel estimator of the conditional distribution of the response are long established in statistics. Attention has been, however, restricted to ordinary quantiles staying away from the tails of the conditional distribution. The purpose of this paper is to extend their asymptotic theory far enough into the tails. We focus on extremal quantile regression estimators of a response variable given a vector of covariates in the general setting, whether the conditional extreme-value index is positive, negative, or zero. Specifically, we elucidate their limit distributions when they are located in the range of the data or near and even beyond the sample boundary, under technical conditions that link the speed of convergence of their (intermediate or extreme) order with the oscillations of the quantile function and a von-Mises property of the conditional distribution. A simulation experiment and an illustration on real data are proposed.

16:00 - 17:00 : Domenico Giannone, ULB

Unspanned Macroeconomic Factors in the Yields Curve.

Abstract: We show that two macroeconomic factors have an important predictive content for governmentbond yields and excess returns. These factors are not spanned by the cross-section of yields andare well proxied by economic growth and real interest rates. Joint work with Laura Coroneo, Michèle Modugno, 2013. Keywords: Yield curve; Government Bonds; factor models; forecasting

Location: Plaine, Salle des Profs
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