In this paper, the cross-validation methods namely the <InlineEquation ID="IEq1"> <EquationSource Format="TEX">$$C_{p}$$</EquationSource> <EquationSource Format="MATHML"> <math xmlns:xlink="http://www.w3.org/1999/xlink"> <msub> <mi>C</mi> <mi>p</mi> </msub> </math> </EquationSource> </InlineEquation>, PRESS and GCV are presented under the multiple linear regression model when multicollinearity exists and additional information imposes restrictions among the parameters that should hold in exact terms. The selection...</equationsource></equationsource></inlineequation>

Assume we have a dataset, Z say, from the joint distribution of random variables X and Y , and two further, independent datasets, X and Y, from the marginal distributions of X and Y , respectively. We wish to combine X, Y and Z, so as to construct an estimator of the joint density. This problem...

We explore the macro/finance interface in the context of equity markets. In particular, using half a century of Livingston expected business conditions data we characterize directly the impact of expected business conditions on expected excess stock returns. Expected business conditions...

We model the dynamics of ask and bid curves in a limit order book market using a dynamic semiparametric factor model. The shape of the curves is captured by a factor structure which is estimated nonparametrically. Corresponding factor loadings are assumed to follow multivariate dynamics and are...