4 papers
Kernel Density Machines
Andrea Della Vecchia, Damir Filipovic, Paul Schneider
We introduce kernel density machines (KDM), an agnostic kernel-based framework for learning the Radon-Nikodym derivative (density) between probability measures under minimal assump…
Transfer Learning Across Fixed-Income Product Classes
Nicolas Camenzind, Damir Filipovic
We propose a framework for transfer learning of discount curves across different fixed-income product classes. Motivated by challenges in estimating discount curves from sparse or…
Joint Estimation of Conditional Mean and Covariance for Unbalanced Panels
Damir Filipovic, Paul Schneider
We develop a nonparametric, kernel-based joint estimator for conditional mean and covariance matrices in large and unbalanced panels. The estimator is supported by rigorous consist…
Fundamental properties of linear factor models
Damir Filipovic, Paul Schneider
We study conditional linear factor models in the context of asset pricing panels. Our analysis focuses on conditional means and covariances to characterize the cross-sectional and…