output
20092022
most citedNonparametric estimation of conditional value-at-risk and expected shortfall based on extreme value theory

67 citations

6 papers

econ.GN2022★ 45 cited

Early life height and weight production functions with endogenous energy and protein inputs

Esteban Puentes, Fan Wang, Jere R. Behrman +7

We examine effects of protein and energy intakes on height and weight growth for children between 6 and 24 months old in Guatemala and the Philippines. Using instrumental variables…

q-fin.ST2021

Forecasting Commodity Prices Using Long Short-Term Memory Neural Networks

Racine Ly, Fousseini Traore, Khadim Dia

This paper applies a recurrent neural network (RNN) method to forecast cotton and oil prices. We show how these new tools from machine learning, particularly Long-Short Term Memory…

stat.ME2016★ 67 cited

Nonparametric estimation of conditional value-at-risk and expected shortfall based on extreme value theory

Carlos Martins-Filho, Feng Yao, Maximo Torero

We propose nonparametric estimators for conditional value-at-risk (CVaR) and conditional expected shortfall (CES) associated with conditional distributions of a series of returns o…

math.ST2016★ 2 cited

Reducing bias in nonparametric density estimation via bandwidth dependent kernels: view

Kairat Mynbaev, Carlos Martins-Filho

We define a new bandwidth-dependent kernel density estimator that improves existing convergence rates for the bias, and preserves that of the variation, when the error is measured…

physics.chem-ph2009★ 11 cited

A complex chemical kinetic mechanism for the oxidation of gasoline surrogate fuels: n heptane, iso octane and toluene - Mechanism development and validation

A. Pires Da Cruz, C. Pera, Jörg Anderlohr +2

The development and validation against experimental results of a new gasoline surrogate complex kinetic mechanism is presented in this paper. The surrogate fuel is a ternary mixtur…

physics.chem-ph2009★ 1 cited

Modeling of NO sensitization of IC engines surrogate fuels auto-ignition and combustion

Jörg Anderlohr, A. Pires Da Cruz, Roda Bounaceur +1

This paper presents a new chemical kinetic model developed for the simulation of auto-ignition and combustion of engine surrogate fuel mixtures sensitized by the presence of NOx. T…