The class of Multivariate BiLinear GARCH (MBL-GARCH) models is proposed and its statistical properties are investigated. The model can be regarded as a generalization to a multivariate setting of the univariate BLGARCH model ...

In this work we propose a nonparametric estimator for parameters which are embodied in given moment conditions. Here we are interested in small samples problems. We analyze conditions under which it is possible to represent the ...

In this writing we provide a brief overview on how in different fields such as statistics, econometrics and experimental psychology, the issue of measuring subjective expectations about future uncertain outcomes has ...

Si `e pi `u volte osservato in letteratura come gli approcci non parametrici alla stima della frontiera di produzione siano scarsamente robusti rispetto alla presenza di valori eccezionali. Il presente lavoro propone una ...