Conventional regression technique is restrictive because it assumes a specific functional form for the model and the constancy of parameters. Nonparametric method, however, is flexible and supplementary to parametric analysis. In this study, impact of captive supply on the U.S. fed cattle cash...

We provide a limit theory for a general class of kernel smoothed U statistics that may be used for specification testing in time series regression with nonstationary data. The framework allows for linear and nonlinear models of cointegration and regressors that have autoregressive unit roots or...

This paper compares the goodness-of-fit of eight option-based approaches used to extract risk-neutral probability density functions from a high-frequency CAC 40 index options during a normal and troubled period. Our findings show that the kernel estimator generates a strong volatility smile with...