We show that the recently developed nonparametric procedure for fitting the term structure of interest rates developed by Linton, Mammen, Nielson and Tanggaard (2000) overall performs notably better than the highly flexible McCulloch (1975) cubic spline and Fama and Bliss (1987) bootstrap...

We show the recently developed nonparametric procedure for fitting the term structure interest rates developed by Linton, Mammen, Nielsen, and Tanggaard (2000) overall performs notably better than the highly felxible McCulloch (1975) cubic spline and Fama and Bliss (1987) bootstrap methods....

We show that the recently developed nonparametric procedure for fitting the term structure of interest rates developed by Linton, Mammen, Nielsen, and Tanggaard (2000) overall performs notably better than the highly flexible McCulloch (1975) cubic spline and Fama and Bliss (1987) bootstrap...

We introduce an alternative version of the Fama-French three-factor model of stock returns together with a new estimation methodology. We assume that the factor betas in the model are smooth nonlinear functions of observed security characteristics. We develop an estimation procedure that...

We investigate a new separable nonparametric model for time series, which includes many ARCH models and AR models already discussed in the literature. We also propose a new estimation procedure based on a localization of the econometric method of instrumental variables. Our method has...

A semiparametric hazard model with parametrized time but general covariate dependency is formulated and analyzed inside the framework of counting process theory. A profile likelihood principle is introduced for estimation of the parameters: the resulting estimator is n1/2-consistent,...