Dynamic portfolio choice has been a central and essential objective for institutional investors in active asset management. In this paper, we study the dynamic portfolio choice depending on multiple conditioning variables, where the number of the conditioning variables can be either fixed or...

We consider testing the significance of a subset of covariates in a nonparamet- ric regression. These covariates can be continuous and/or discrete. We propose a new kernel-based test that smoothes only over the covariates appearing under the null hypothesis, so that the curse of dimensionality...

The literature analyzing the efficiency of financial institutions has evolved rapidly over the last twenty years. Most research has focused on the input side, analyzing either cost, input technical efficiency or input allocative efficiency, whereas comparatively fewer studies have examined the...

Markov processes are used in a wide range of disciplines, including finance. The transition densities of these processes are often unknown. However, the conditional characteristic functions are more likely to be available, especially for Lévy-driven processes. We propose an empirical likelihood...

Uncovering gradients is of crucial importance across a broad range of economic environments. Here we consider data-driven bandwidth selection based on the gradient of an unknown regression function. The procedure developed here is automatic and does not require initial estimation of unknown...

Understanding the factors that may impact how well universities are transforminga set of inputs into research outputs is of great interest for university andpublic authorities. The goal of this paper is on the one hand to measure the researchefficiencies of US universities and on the other hand...

We obtain uniform consistency results for kernel-weighted sample covariances in a nonstationary multiple regression framework that allows for both fixed design and random design coefficient variation. In the fixed design case these nonparametric sample covariances have different uniform...