Single index models are frequently used in econometrics and biometrics. Logit and Probit models are special cases with fixed link functions. In this paper we consider a bootstrap specification test that detects nonparametric deviations of the link function. The bootstrap is used with the aim to...

Assumptions about the dynamic and distributional behavior of risk factors are crucial for the construction of optimal portfolios and for risk assessment. Although asset returns are generally characterized by conditionally varying volatilities and fat tails, the normal distribution with constant...

Single index models are frequently used in econometrics and biometrics. Logit and Probit models are special cases with fixed link functions. In this paper we consider a bootstrap specification test that detects nonparametric deviations of the link function. The bootstrap is used with the aim to...

Much empirical research in the social sciences is concerned with estimating conditional mean functions. The most frequently used estimation methods assume that the conditional mean function is known up to a set of constant parameters that can be estimated from data. Such methods are called...

This paper considers index models, such as neural network models and smooth transition regressions, with integrated regressors. These are the models that can be ued to analyze various nonlinear relationships among nonstationary economic time series. Asymptotics for the nonlinear least squares...

This paper is concerned with estimating the mean of a random variable Y conditional on a vector of covariates X under weak assumptions about the form of the conditional mean function. Fully nonparametric estimation is usually unattractive when X is multidimensional because estimation precision...

This study presents an attempt to explain how international dual listing of securities can reduce the effects of segmented international markets. By applying the mean-variance model we show that, for a return generating process given by the maximum distribution, the expected return on the dually...