This paper studies the contemporaneous relationship between S&P 500 index returns and log-increments of the market volatility index (VIX) via a nonparametric copula method. Specifically, we propose a conditional dependence index to investigate how the dependence between the two series varies...

This paper compares the finite sample performance of three non-parametric threshold estimators via the Monte Carlo method. Our results indicate that the finite sample performance of the three estimators is not robust to the position of the threshold level along the distribution of the threshold...

Model selection and model averaging are popular approaches for handling modeling uncertainties. The existing literature offers a unified framework for variable selection via penalized likelihood and the tuning parameter selection is vital for consistent selection and optimal estimation. Few...

This paper aims to enrich the understanding and modelling strategies for cryptocurrency markets by investigating major cryptocurrencies' returns determinants and forecast their returns. To handle model uncertainty when modelling cryptocurrencies, we conduct model selection for an autoregressive...

Despite the fact that growth theories suggest that natural disasters should have an impact on economic growth, parametric empirical studies have provided little to no evidence supporting that prediction. On the other hand, pure nonparametric regression analysis would be an extremely difficult...

In this paper, we study the estimation and inference of the threshold model with hybrid local stochastic unit root regressors. Our main contribution is to propose an estimator that generalizes the threshold model with various forms of nonstationary regressors and to obtain its limiting...

We fit U.S. stock market volatilities on macroeconomic and financial market indicators and some industry level financial ratios. Stock market volatility is non-Gaussian distributed. It can be approximated by an inverse Gaussian (IG) distribution or it can be transformed by Box-Cox transformation...

In this paper, we examine the effect of emissions, as measured by carbon dioxide (CO 2), on economic growth among a set of OECD countries during the period 1981-1998. We examine the relationship between total factor productivity (TFP) growth and emissions using a semiparametric smooth...

An area of very active research in econometrics over the last 30 years has been that of non- and semi-parametric methods. These methods have provided ways to complement more-traditional parametric approaches in terms of robust alternatives, as well as preliminary data analysis. The present...

We examine the significance of fourty-one potential covariates of bitcoin returns for the period 2010-2018 (2872 daily observations). The recently introduced principal component-guided sparse regression is employed. We reveal that economic policy uncertainty and stock market volatility are among...