Enno Mammen

University of Mannheim - Department of Economics

Mannheim, 68131

Germany

  • University of Mannheim - Department of Economics

SCHOLARLY PAPERS

17

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31

Scholarly Papers (17)

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1.

Yield Curve Estimation by Kernel Smoothing Methods

Downloads 1,036 (47,159)
Citation 4

Yield Curve Estimation by Kernel Smoothing Methods

Number of pages: 43 Posted: 09 Aug 2000
Oliver B. Linton, Enno Mammen, Jens Perch Nielsen and Carsten Tanggaard
University of Cambridge, University of Mannheim - Department of Economics, City University London - Cass Business School and affiliation not provided to SSRN
Downloads 869 (59,264)
Citation 2

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Coupon bonds, Kernal Estimation, Hilbert Space, nonparametric regression, term structure estimation, yield curve, zero coupon

Yield Curve Estimation by Kernel Smoothing Methods

LSE STICERD Research Paper No. EM385
Number of pages: 46 Posted: 21 Jul 2008
Oliver B. Linton, Enno Mammen, Jens Perch Nielsen and Carsten Tanggaard
University of Cambridge, University of Mannheim - Department of Economics, City University London - Cass Business School and affiliation not provided to SSRN
Downloads 167 (383,588)
Citation 2

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2.

Testing Parametric Versus Semiparametric Modelling in Generalized Linear Models

Number of pages: 25 Posted: 14 Jan 1997
Wolfgang Karl Härdle, Marlene Müller and Enno Mammen
Blockchain Research Center Humboldt-Universität zu Berlin, Beuth University of Applied Sciences Berlin and University of Mannheim - Department of Economics
Downloads 414 (153,285)
Citation 4

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3.

More Efficient Kernel Estimation in Nonparametric Regression with Autocorrelated Errors

Downloads 306 (213,734)

More Efficient Kernel Estimation in Nonparametric Regression with Autocorrelated Errors

Number of pages: 50 Posted: 12 Aug 2002
Zhijie Xiao, Oliver B. Linton, Raymond Carroll and Enno Mammen
University of Illinois at Urbana-Champaign - Department of Economics, University of Cambridge, Texas A&M University - Department of Statistics and University of Mannheim - Department of Economics
Downloads 207 (314,750)

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Time Series Regression, Nonparametric Regression, Kernel, Efficiency

More Efficient Kernel Estimation in Nonparametric Regression with Autocorrelated Errors

LSE STICERD Research Paper No. EM435
Number of pages: 53 Posted: 21 Jul 2008
Raymond Carroll, Oliver B. Linton, Enno Mammen and Zhijie Xiao
Texas A&M University - Department of Statistics, University of Cambridge, University of Mannheim - Department of Economics and University of Illinois at Urbana-Champaign - Department of Economics
Downloads 99 (584,728)

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4.

Nonparametric Regression on Latent Covariates with an Application to Semiparametric GARCH-in-Mean Models

University of Heidelberg, Department of Economics, Discussion Paper No. 473
Number of pages: 46 Posted: 31 Jul 2008
Christian Conrad and Enno Mammen
Heidelberg University - Alfred Weber Institute for Economics and University of Mannheim - Department of Economics
Downloads 268 (245,471)
Citation 12

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Specification test, GARCH-M, semiparametric regression, risk premium, ICAPM

5.

Estimating Semiparametric Arch (Infinity) Models by Kernel Smoothing Methods

Number of pages: 77 Posted: 26 Jan 2004
Enno Mammen and Oliver B. Linton
University of Mannheim - Department of Economics and University of Cambridge
Downloads 159 (400,670)
Citation 1

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ARCH, Inverse Problem, Kernel Estimation, News Impact Curve, Nonparametric regression, Profile Likelihood, Semiparametric Estimation, Volatility

6.

Do-Validating Local Linear Hazards

Number of pages: 32 Posted: 03 Oct 2014
Maria Luz Gamiz, Enno Mammen, Maria Dolores Martinez-Miranda and Jens Perch Nielsen
University of Granada, University of Mannheim - Department of Economics, University of Granada and City University London - Cass Business School
Downloads 149 (422,926)
Citation 3

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Aalen's multiplicative model, cross-validation, Do-validation, filtered data, local linear estimation, semiparametric estimation

7.

A General Semiparametric Approach to Inference with Marker-Dependent Hazard Rate Models

IZA Discussion Paper No. 8339
Number of pages: 39 Posted: 02 Aug 2014 Last Revised: 16 Apr 2023
Gerard J. van den Berg, Lena Janys, Enno Mammen and Jens Perch Nielsen
University of Groningen, University of Mannheim, University of Mannheim - Department of Economics and City University London - Cass Business School
Downloads 140 (444,843)

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birth weight, covariate effects, survival analysis, local linear estimation, asymptotic distribution, mortality, social class

8.

Asymptotics for Parametric GARCH-in-Mean Models

Journal of Econometrics, Forthcoming
Number of pages: 26 Posted: 10 Feb 2015 Last Revised: 03 Jan 2017
Christian Conrad and Enno Mammen
Heidelberg University - Alfred Weber Institute for Economics and University of Mannheim - Department of Economics
Downloads 133 (463,522)
Citation 2

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GARCH-in-Mean, stochastic recurrence equations, risk-return relationship

9.

Semiparametric Estimation with Generated Covariates

IZA Discussion Paper No. 6084
Number of pages: 44 Posted: 13 Nov 2011 Last Revised: 18 Nov 2021
Enno Mammen, Christoph Rothe and Melanie Schienle
University of Mannheim - Department of Economics, Columbia University and Humboldt University of Berlin - School of Business and Economics
Downloads 124 (490,017)
Citation 2

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semiparametric estimation, generated covariates, profiling, propensity score

10.

Nonparametric Instrumental Variable Methods for Dynamic Treatment Evaluation

IZA Discussion Paper No. 9782
Number of pages: 49 Posted: 07 Mar 2016 Last Revised: 18 Nov 2021
Gerard J. van den Berg, Petyo Bonev and Enno Mammen
University of Groningen, Mines-Paristech and University of Mannheim - Department of Economics
Downloads 95 (595,030)

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labor market policy reform, unemployment, regression discontinuity design, noncompliance, survival function, treatment effects, duration variable, hazard rate, active labor market policy, unemployment benefits

11.

Estimating Semiparametric Arch (∞) Models by Kernel Smoothing Methods

LSE STICERD Research Paper No. EM453
Number of pages: 62 Posted: 21 Jul 2008
Oliver B. Linton and Enno Mammen
University of Cambridge and University of Mannheim - Department of Economics
Downloads 75 (685,159)

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12.

The Existence and Asymptotic Properties of a Backfitting Projection Algorithm Under Weak Conditions

LSE STICERD Research Paper No. EM386
Number of pages: 59 Posted: 21 Jul 2008
Oliver B. Linton, Enno Mammen and N Nielsen
University of Cambridge, University of Mannheim - Department of Economics and affiliation not provided to SSRN
Downloads 70 (711,896)
Citation 2

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13.

Estimation of Group Structures in Panel Models with Individual Fixed Effects

ZEW - Centre for European Economic Research Discussion Paper No. 22-023
Number of pages: 58 Posted: 22 Jul 2022
Enno Mammen, Ralf A. Wilke and Kristina Zapp
University of Mannheim - Department of Economics, Copenhagen Business School - Department of Economics and ZEW – Leibniz Centre for European Economic Research
Downloads 64 (746,613)
Citation 1

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Panel Data, Statistical Learning, Regularisation, Endogeneity

14.

Nonparametric Transformation to White Noise

LSE STICERD Research Paper No. EM503
Number of pages: 36 Posted: 21 Jul 2008
Oliver B. Linton and Enno Mammen
University of Cambridge and University of Mannheim - Department of Economics
Downloads 51 (835,953)

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15.

Generalised Partially Linear Regression with Misclassified Data and an Application to Labour Market Transitions

ZEW - Centre for European Economic Research Discussion Paper No. 15-043
Number of pages: 29 Posted: 06 Aug 2015
Stephan Dlugosz, Enno Mammen and Ralf A. Wilke
ZEW – Leibniz Centre for European Economic Research, University of Mannheim - Department of Economics and Copenhagen Business School - Department of Economics
Downloads 46 (876,216)

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semiparametric regression, measurement error, side information

16.

Specification and Structural Break Tests for Additive Models with Applications to Realized Variance Data

Journal of Econometrics, Vol. 188, No. 1, 2015, pp. 196-218
Posted: 01 Nov 2013 Last Revised: 20 Jun 2015
Matthias R. Fengler, Enno Mammen and Michael Vogt
University of St. Gallen - SEPS: Economics and Political Sciences, University of Mannheim - Department of Economics and University of Cambridge

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Additive models, Backfitting, Nonparametric time series analysis, Specification tests, Realized variance; Heterogeneous autoregressive model

17.

A Semiparametric Factor Model for Implied Volatility Surface Dynamics

Journal of Financial Econometrics, Vol. 5, Issue 2, pp. 189-218, 2007
Posted: 16 Jun 2008
Matthias R. Fengler, Wolfgang Karl Härdle and Enno Mammen
University of St. Gallen - SEPS: Economics and Political Sciences, Blockchain Research Center Humboldt-Universität zu Berlin and University of Mannheim - Department of Economics

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functional principal component analysis, implied volatility surface, semiparametric factor models