Tail risk is a classic topic in stressed portfolio optimization to treat unprecedented risks, while the traditional mean-variance approach may fail to perform well. This study proposes an innovative semiparametric method consisting of two modeling components: the nonparametric estimation and...

In this paper, we consider some identification, estimation and specification problems in a class of semi-linear time series models. Existing studies for the stationary time series case have been reviewed and discussed. We also establish some new results for the integrated time series case. In...

In this paper, we consider some identification, estimation and specification problems in a class of semiparametric time series models. Existing studies for the stationary time series case have been reviewed and discussed. We also consider the case where new studies for the integrated...

We provide a new perspective on disagreement in inflation expectations by examining the full probability distributions of UK consumer inflation forecasts based on an adaptive bootstrap multimodality test. Furthermore, we compare the inflation forecasts of the Bank of England's Monetary Policy...

Semiparametric regression has become very popular in the field of Statistics over theyears. While on one hand more and more sophisticated models are being developed,on the other hand the resulting theory and estimation process has become more andmore involved. The main problems that are...

We measure how different the shapes of Engel curves are across 59 commodity groups. The same analysis is carried out for their derivatives and variances. While Engel curves possess a relatively homogeneous shape, significantly more heterogeneity is present in derivatives and when particular...

A local limit theorem is proved for sample covariances of nonstationary time series and integrable functions of such time series that involve a bandwidth sequence. The resulting theory enables an asymptotic development of nonparametric regression with integrated or fractionally integrated...

We measure how different the shapes of Engel curves are across 59 commodity groups. The same analysis is carried out for their derivatives and variances. While Engel curves possess a relatively homogeneous shape, significantly more heterogeneity is present in derivatives and when particular...