Giraitis, Kapetanios, and Marcellino (Journal of Econometrics, 2020) proposed a kernel-based time-varying coefficients IV estimator. By using entirely different code, We broadly replicate the simulation results and the empirical application on the Phillips Curve but we note that a small coding...

A nonparametric model that includes non-Gaussian characteristics of skewness and kurtosis is proposed based on the cubic market capital asset pricing model. It is an equilibrium pricing model but risk-neutral valuation can be introduced through return data transformation. The model complies with...

For a long time, poverty measurement has been based strictly on a monetary approach. Since Sen (1976), many poverty measures have been proposed based on an axiomatic foundation, like the Sen (1976) measure, the class of FGT measures (1984), the Shorrocks (1995) measure, otherwise known as the...

This study investigates the portfolio diversification possibilities among Australian sectoral, size and style indexes and between Australian aggregate equity index and selected international indexes. Two analytical methods are used – nonparametric cointegration that appears to be the most...

The paper states empirical results of inter-branch research of efficiency of the industry of Ukraine as the first and one of the basic stages of the three-level analysis of efficiency (Goncharuk 2007). By results of the analysis groups of high, low and medium efficient industries are determined....

This paper studies the limiting behavior of general functionals of order statistics and their multivariate concomitants for weakly dependent data. The asymptotic analysis is performed under a conditional moment-based notion of dependence for vector-valued time series. It is argued, through...

This paper develops the asymptotic theory for the estimation of smooth semiparametric generalized estimating equations models with weakly dependent data. The paper proposes new estimation methods based on smoothed two-step versions of the generalised method of moments and generalised empirical...

This paper explores the relationship between bank market concentration and financial stability of financial institutions relying on highly territorially disaggregated data taken at municipality level in Italy between 2001 and 2012. Firstly, we test the existence of a U-shaped relationship...

The paper states empirical results of inter-branch research of efficiency of the industry of Ukraine as the first and one of the basic stages of the three-level analysis of efficiency (Goncharuk 2007). By results of the analysis groups of high, low and medium efficient industries are determined....

Two volatility forecasting evaluation measures are considered; the squared one-day-ahead forecast error and its standardized version. The mean squared forecast error is the widely accepted evaluation function for the realized volatility forecasting accuracy. Additionally, we explore the...