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Stock price fluctuation and the business cycle in the BRICS countries : a nonparametric quantiles causality approach
Shi, Guangping; Liu, Xiaoxing - In: Finance research letters 33 (2020), pp. 1-7
Persistent link: https://www.econbiz.de/10012430957
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Nonparametric modelling of financial time series
Heid, Frank - 1998
Persistent link: https://www.econbiz.de/10000668367
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Application of penalized splines method in the credit market
Yao, Zhilin - 2008
Persistent link: https://www.econbiz.de/10003738379
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Nonparametric modeling in financial time series
Franke, Jürgen; Kreiß, Jens-Peter; Mammen, Enno - In: Handbook of financial time series, (pp. 927-952). 2009
Persistent link: https://www.econbiz.de/10003834268
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A semiparametric approach to a nonlinear ACD model
Wongsaart, Pipat; Gao, Jiti; Allen, David E. - 2009
Persistent link: https://www.econbiz.de/10003869607
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A nonparametric ACD model
Cosma, Antonio (contributor); Galli, Fausto (contributor) - 2006
Persistent link: https://www.econbiz.de/10003375845
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Are short term stock asset returns predictable? : an extended empirical analysis
Mazzoni, Thomas - 2010
Persistent link: https://www.econbiz.de/10003977437
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Semiparametric approaches to the prediction of conditional correlation matrices in finance
Golosnoy, Vasyl (contributor); Herwartz, Helmut (contributor) - 2006
We consider the problem of ex-ante forecasting conditional correlation patterns using ultra high frequency data. Flexible semiparametric predictors referring to the class of dynamic panel and dynamic factor models are adopted for daily forecasts. The parsimonious set up of our approach allows to...
Persistent link: https://www.econbiz.de/10003516408
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Modelling stochastic volatility in asset returns using fractionally integrated semiparametric techniques
Caporale, Guglielmo Maria; Gil-Alaña, Luis A. - In: Applied financial economics letters 2 (2006) 1, pp. 9-12
Persistent link: https://www.econbiz.de/10003301505
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Inference for nonparametric high-frequency estimators with an application to time variation in betas
Kalnina, Ilze - 2015
Persistent link: https://www.econbiz.de/10011419314