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A note on Muth's rational expectations hypothesis : a time-varying coefficient interpretation
Swamy, Paravastu A. V. B.; Tavlas, George S. - In: Macroeconomic dynamics 10 (2006) 3, pp. 415-425
Persistent link: https://www.econbiz.de/10003329470
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Statistical learning with time-varying parameters
McGough, Bruce - In: Macroeconomic dynamics 7 (2003) 1, pp. 119-139
Persistent link: https://www.econbiz.de/10001750287
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Tools and techniques
Aït-Sahalia, Yacine (ed.); Hansen, Lars Peter (ed.) - 2010
Persistent link: https://www.econbiz.de/10003898678
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Applications
Aït-Sahalia, Yacine (ed.); Hansen, Lars Peter (ed.) - 2010
Persistent link: https://www.econbiz.de/10003898680
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Prediction-based estimating functions : review and new developments
Sørensen, Michael - 2011
Persistent link: https://www.econbiz.de/10008807426
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Three essays on financial econometrics
Yu, Jialin - 2005
Persistent link: https://www.econbiz.de/10003555366
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Uniform convergence rates over maximal domains in structural nonparametric cointegrating regression
Duffy, James A. - 2015
Persistent link: https://www.econbiz.de/10011286018
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A realized stochastic volatility model with box-cox transformation
Zheng, Tingguo; Song, Tao - In: Journal of business & economic statistics : JBES ; a … 32 (2014) 4, pp. 593-605
Persistent link: https://www.econbiz.de/10010488412
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On the choice of functional form in stochastic frontier modeling
Giannakas, Kōnstantinos; Tran, Kien C.; Tzouvelekas, … - In: Empirical economics : a journal of the Institute for … 28 (2003) 1, pp. 75-100
Persistent link: https://www.econbiz.de/10001724094
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Nonparametric Estimation and Parametric Calibration of Time-Varying Coefficient Realized Volatility Models
Chen, Xiangjin Bruce - 2013
This paper introduces a new specification for the heterogeneous autoregressive (HAR) model for the realized volatility of S&P500 index returns. In this new model, the coefficients of the HAR are allowed to be time-varying with unknown functional forms. We propose a local linear method for...
Persistent link: https://www.econbiz.de/10013076694