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A flexible semiparametric forecasting model for time series

Li, Degui; Linton, Oliver; Lu, Zu-di - In: Journal of econometrics 187 (2015) 1, pp. 345-357

Persistent link: https://www.econbiz.de/10011499465

Semiparametric quantile averaging in the presence of high-dimensional predictors

Gooijer, Jan G. de; Zerom Godefay, Dawit - In: International journal of forecasting 35 (2019) 3, pp. 891-909

Persistent link: https://www.econbiz.de/10012305189

Statistics and finance : an introduction

Ruppert, David - 2004

This textbook emphasizes the applications of statistics and probability to finance. Students are assumed to have had a … prior course in statistics, but no background in finance or economics. The basics of probability and statistics are reviewed … and more advanced topics in statistics, such as regression, ARMA and GARCH models, the bootstrap, and nonparametric …

Persistent link: https://www.econbiz.de/10001805902

Nonparametric and semiparametric models for missing covariates in parametric regression

Chen, Hua Yun - In: Journal of the American Statistical Association : JASA 99 (2004) 468, pp. 1176-1189

Persistent link: https://www.econbiz.de/10002507624

A consistent nonparametric test for nonlinear causality : specification in time series regression

Nishiyama, Yoshihiko; Hitomi, Kohtaro; Kawasaki, Yoshinori - In: Journal of econometrics 165 (2011) 1, pp. 112-127

Persistent link: https://www.econbiz.de/10009374481

The Oxford handbook of applied nonparametric and semiparametric econometrics and statistics

Racine, Jeffrey (ed.) - 2014

Persistent link: https://www.econbiz.de/10010337797

Nonparametric regression for locally stationary time series

Vogt, Michael - 2012

In this paper, we study nonparametric models allowing for locally stationary regressors and a regression function that changes smoothly over time. These models are a natural extension of time series models with time-varying coefficients. We introduce a kernel-based method to estimate the...

Persistent link: https://www.econbiz.de/10009614397

Optimal uniform convergence rates and asymptotic normality for series estimators under weak dependence and weak conditions

Chen, Xiaohong; Christensen, Timothy M. - 2014

Persistent link: https://www.econbiz.de/10010470615

Optimal uniform convergence rates and asymptotic normality for series estimators under weak dependence and weak conditions

Chen, Xiaohong; Christensen, Timothy M. - 2014 - Rev.

finite (2 + (d=p))th absolute moment for d=p < 2.We also establish the asymptotic normality of t statistics for possibly …

Persistent link: https://www.econbiz.de/10010458629

Optimal uniform convergence rates and asymptotic normality for series estimators under weak dependence and weak conditions

Chen, Xiaohong; Christensen, Timothy M. - In: Journal of econometrics 188 (2015) 2, pp. 447-465

Persistent link: https://www.econbiz.de/10011503628