Härdle, Wolfgang; Hautsch, Nikolaus; Pigorsch, Uta - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2008
, May 2008.
036 "Expected Inflation, Expected Stock Returns, and Money Illusion: What
can we learn from Survey … for general H but
restricted K(x) = 1. Both of these estimators, however, have been shown
to be inconsistent. Barndorff … Tukey-Hanning kernel, i.e. K(x) ={1−cospi(1−x)2}/2, which performs
also very well in terms of efficiency as illustrated in a …