Search Results - subject:"generated regressors"

Copula-based time series with filtered nonstationarity

Chen, Xiaohong; Xiao, Zhijie; Wang, Bo - 2020 - Final version: October 2020

Persistent link: https://www.econbiz.de/10012320594

An econometric analysis of ETF and ETF futures in financial and energy markets using generated regressors

Chang, Chia-Lin; McAleer, Michael; Wang, Chien-Hsun - In: International Journal of Financial Studies 6 (2018) 1, pp. 1-24

examine spillover effects, 'generated regressors' are useful for constructing both financial ETF futures and energy ETF … financial sectors in both spot and futures markets, by using 'generated regressors' and a multivariate conditional volatility …

Persistent link: https://www.econbiz.de/10011996068

An econometric analysis of ETF and ETF futures in financial and energy markets using generated regressors

Chang, Chia-Lin; McAleer, Michael; Wang, Chien-Hsun - In: International Journal of Financial Studies : open … 6 (2018) 1, pp. 1-24

examine spillover effects, “generated regressors” are useful for constructing both financial ETF futures and energy ETF … financial sectors in both spot and futures markets, by using “generated regressors” and a multivariate conditional volatility …

Persistent link: https://www.econbiz.de/10011848179

An Econometric Analysis of ETF and ETF Futures in Financial and Energy Markets using Generated Regressors

Chang, Chia-Lin; McAleer, Michael; Wang, Chien-Hsun - 2016

to examine spillover effects, “generated regressors” may be used to construct both Financial ETF futures and Energy ETF … sectors in both spot and futures markets, by using “generated regressors” and a multivariate conditional volatility model …

Persistent link: https://www.econbiz.de/10011526129

An econometric analysis of ETF and ETF futures in financial and energy markets using generated regressors

Chang, Chia-ling; McAleer, Michael; Wang, Chien-Hsun - 2016 - Revised: June, 2016

to examine spillover effects, "generated regressors" may be used to construct both Financial ETF futures and Energy ETF … sectors in both spot and futures markets, by using "generated regressors" and a multivariate conditional volatility model …

Persistent link: https://www.econbiz.de/10011520509

Additive Nonparametric Regression in the Presence of Endogenous Regressors

Ozabaci, Deniz; Henderson, Daniel J.; Su, Liangjun - 2014

In this paper we consider nonparametric estimation of a structural equation model under full additivity constraint. We propose estimators for both the conditional mean and gradient which are consistent, asymptotically normal, oracle efficient and free from the curse of dimensionality. Monte...

Persistent link: https://www.econbiz.de/10010352286