We show that when estimating a non-parametric regression model, the k-nearest-neighbour non-parametric estimation method has the ability to remove irrelevant variables provided one uses a product weight function with a vector of smoothing parameters, and the least-squares cross-validation method...

This study examines whether price limits affect underlying equilibrium prices on limit-hitting days. To identify two effects--a ceiling effect and a cooling or heating effect (C--H effect)--we use the fact that equilibrium prices are reached at the day immediately after price limits are hit. We...