Search Results - subject:"Kernel"

Trade cooperation between China and Vietnam from the perspective of intra-industry trade

Tan, Yan; Yang, Yang - In: Sustainable Development in Asia : Socio-economic, …, (pp. 201-221). 2022

Persistent link: https://www.econbiz.de/10013198351

State-varying factor models of large dimensions

Pelger, Markus; Xiong, Ruoxuan - In: Journal of business & economic statistics : JBES ; a … 40 (2022) 3, pp. 1315-1333

Persistent link: https://www.econbiz.de/10013539523

Continuous-time portfolio optimization for absolute return funds

Ieda, Masashi - In: Asia Pacific financial markets 29 (2022) 4, pp. 675-696

Persistent link: https://www.econbiz.de/10013397759

Predictive functional linear models with diverging number of semiparametric single-index interactions

Liu, Yanghui; Li, Yehua; Carroll, Raymond J.; Wang, Naisyin - In: Journal of econometrics 230 (2022) 2, pp. 221-239

Persistent link: https://www.econbiz.de/10013463776

Nonparametric jump variation measures from options

Todorov, Viktor - In: Journal of econometrics 230 (2022) 2, pp. 255-280

Persistent link: https://www.econbiz.de/10013463804

Testing for the presence of jump components in jump diffusion models

Wang, Bin; Zheng, Xu - In: Journal of econometrics 230 (2022) 2, pp. 483-509

Persistent link: https://www.econbiz.de/10013464085

The impact of crimes on house prices in LA County

de La Paz, Paloma Taltavull; Berry, Jim; McIlhatton, David - In: Journal of European Real Estate Research 15 (2022) 1, pp. 88-111

Purpose This paper focusses on analysing the impact of crime on the housing market in Los Angeles (LA) County. By looking at different types of crime instead of general crime measures and controlling by spatial dimension of prices and crime as well as endogeneity, a model is developed that...

Persistent link: https://www.econbiz.de/10014862725

Multi-step non- and semi-parametric predictive regressions for short and long horizon stock return prediction

Cheng, Tingting; Gao, Jiti; Linton, Oliver - 2018

In this paper, we propose three new predictive models: the multi-step nonparametric predictive regression model and the multi-step additive predictive regression model, in which the predictive variables are locally stationary time series; and the multi-step time-varying coefficient predictive...

Persistent link: https://www.econbiz.de/10011941422

Inference on a semiparametric model with global power law and local nonparametric trends

Gao, Jiti; Linton, Oliver; Peng, Bin - 2018

This paper studies a model with both a parametric global trend and a nonparametric local trend. This model may be of interest in a number of applications in economics, finance, ecology, and geology. The model nests the parametric global trend model considered in Phillips (2007) and Robinson...

Persistent link: https://www.econbiz.de/10011941426

Kernel block bootstrap

Parente, Paulo M. D. C.; Smith, Richard J. - 2018

This article introduces and investigates the properties of a new bootstrap method for time-series data, the kernel … Paparoditis and Politis (2001), admitting kernels with unbounded support. Given a suitable choice of kernel, a kernel block … shows the large sample validity of the kernel block bootstrap and derives the higher order bias and variance of the kernel …

Persistent link: https://www.econbiz.de/10011941512