The purpose of this paper is to examine the conditional volatility and correlation predictability of four emerging stock markets, and address the issue whether investors could exploit this predictability to earn excess returns from the minimum variance portfolio of index component stocks....

A stochastic frontier cost function is estimated using panel data for the electricity generating industry in India. The impact of distributional and functional form assumptions on technical inefficiency and the sources of inefficiency are investigated by using maximum likelihood, GLS and...

In this paper we develop nonparametric estimators of the joint time series data generating process (DGP) of (<italic>x</italic>, <italic>y</italic>) at different <italic>t</italic>-values, of conditional DGP, of the conditional mean of <italic>x</italic> given the past values of <italic>x</italic> and <italic>y</italic>, and, more generally, the conditional mean of (<italic>x</italic>, <italic>y</italic>) given their past values...