Non-stationary parametric single-index predictive models : simulation and empirical studies
Year of publication: |
2023
|
---|---|
Authors: | Zhou, Ying ; Kew, Hsein ; Gao, Jiti |
Published in: |
Essays in honor of Joon Y. Park : econometric theory. - Bingley, U.K. : Emerald Publishing Limited, ISBN 978-1-83753-210-0. - 2023, p. 349-365
|
Subject: | Non-linearity | non-stationarity | single-index models | stockreturn predictability | cointegration | constrained least squares estimator | Schätztheorie | Estimation theory | Prognoseverfahren | Forecasting model | Kointegration | Cointegration | Simulation | Zeitreihenanalyse | Time series analysis | Kleinste-Quadrate-Methode | Least squares method | Nichtlineare Regression | Nonlinear regression |
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