premiums are consistent with equilibrium. Given these implications, we employ a nonparametric estimation technique to document …

rule specifications as well as nonparametric and semiparametric models in forecasting the nominal interest rate setting …

rule speci.cations as well as nonparametric and semiparametric models in forecasting the nominal interest rate setting that …

policy rule specifications, as well as nonparametric and semiparametric models, to forecast the nominal interest rate setting …

result is that, due to the nonlin-earity in the data generating process, the nonparametric method outperforms many other well …We use a nonlinear, nonparametric method to forecast the unemployment rates. We compare these forecasts to several …

This paper investigates potential changes in monetary policy over the last decades using a nonparametric vector … autoregression model. In the proposed model, the conditional mean and variance are time-dependent and estimated using a nonparametric … local linear method, which allows for different forms of nonlinearity, conditional heteroskedasticity, and non …

as nonparametric and semiparametric models in forecasting the nominal interest rate setting that describes the South …

extreme price volatility in June 2008 on exchange rates was significant. When world oil prices are stabilized, currency …

Asian financial crisis of 1997. We first apply a test for the presence of general nonlinearity in vector time series … relationships. We then examine both periods, using a new nonparametric test for Granger noncausality and the conventional parametric … filtering the VAR-residuals with GARCH-BEKK models, we show that the nonparametric test statistics are substantially smaller in …