We consider inference based on local estimating equations in the presence of nuisance parameters. The framework is useful for a number of applications including those in economic policy evaluation based on discontinuities or kinks and in real-time financial risk management. We focus on the...

Understanding uncertainty in estimating risk measures is important in modern financial risk management. In this paper we consider a nonparametric framework that incorporates auxiliary information available in covariates, and propose a family of inferential methods for the value at risk, expected...

Examination over multiple horizons has been a routine in testing asset return predictability in finance and macroeconomics. In a simple predictive regression model, we find that the popular scaled test for multiple-horizon predictability has zero null rejection rate if the forecast horizon...

This paper provides a new approach to constructing confidence intervals for nonparametric drift and diffusion functions in the continuous-time diffusion model via empirical likelihood (EL). The log EL ratios are constructed through the estimating equations satisfied by the local linear...