Zhang, Chongshan; Yin, Xiangrong - In: Quantitative Finance 12 (2012) 10, pp. 1533-1546
In this paper we study time-varying coefficient (beta coefficient) models with a time trend function to characterize the nonlinear, non-stationary and trending phenomenon in time series and to explain the behavior of asset returns. The general local polynomial method is developed to estimate the...