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Inference on a semiparametric model with global power law and local nonparametric trends

Gao, Jiti; Linton, Oliver; Peng, Bin - 2018

This paper studies a model with both a parametric global trend and a nonparametric local trend. This model may be of interest in a number of applications in economics, finance, ecology, and geology. The model nests the parametric global trend model considered in Phillips (2007) and Robinson...

Persistent link: https://www.econbiz.de/10011775194

National culture and eco-efficiency : an application of conditional partial nonparametric frontiers

Halkos, George E.; Tzeremes, Nickolaos G. - In: Environmental economics and policy studies 15 (2013) 4, pp. 423-441

Persistent link: https://www.econbiz.de/10010223114

Forecasting global solar radiation using a robust regularization approach with mixture kernels

Jiang, He - In: Journal of forecasting 42 (2023) 8, pp. 1989-2010

Persistent link: https://www.econbiz.de/10014432828

Information flows around the globe : predicting opening gaps from overnight foreign stock price patterns

Gooijer, Jan G. de; Diks, Cees G. H.; Gatarek, Lukasz T. - 2009

This paper describes a forecasting exercise of close-to-open returns on major global stock indices, based on price patterns from foreign markets that have become available overnight. As the close-to-open gap is a scalar response variable to a functional variable, it is natural to focus on...

Persistent link: https://www.econbiz.de/10011379456

Econometric analysis of volatile art markets

Bocart, Fabian Y. R. P.; Hafner, Christian M. - 2011

A new heteroskedastic hedonic regression model is suggested which takes into account time-varying volatility and is … expectation. The art price index is a smooth function of time and has a variability that is comparable to the volatility of stock … indices. -- Volatility ; art markets ; hedonic regression ; semiparametric estimation …

Persistent link: https://www.econbiz.de/10009349110

Volatility behavior of asset returns based on robust volatility ratio : empirical analysis on global stock indices

Shaik, Muneer; Maheswaran, S. - In: Cogent economics & finance 7 (2019) 1, pp. 1-27

value robust volatility estimator with respect to the standard robust volatility estimator as proposed in the paper by … Muneer & Maheswaran (2018b). We show that the robust volatility ratio is unbiased both in the population as well as in finite … samples. We empirically test the robust volatility ratio on 9 global stock indices from America, Asia Pacific and EMEA markets …

Persistent link: https://www.econbiz.de/10012023869