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Semiparametric spatial autoregressive models with nonlinear endogeneity

Sun, Yiguo - In: Econometric reviews 43 (2024) 6, pp. 434-451

Persistent link: https://www.econbiz.de/10014551539

Panel threshold model with covariate-dependent thresholds and unobserved individual-specific threshold effects

Yang, Lixiong; Chen, I-Po; Lee, Chingnun; Ren, Mingjian - In: Econometric reviews 43 (2024) 7, pp. 452-489

Persistent link: https://www.econbiz.de/10014551815

Smoothed gradient least squares estimator for linear threshold models

Sun, Yiguo - In: Econometric reviews 43 (2024) 7, pp. 490-517

Persistent link: https://www.econbiz.de/10014551819

Averaging heterogeneous autoregression models with heteroskedastic errors : theory and an application to cryptocurrency volatility forecasting

Gao, Ziwen; Lehrer, Steven F.; Xie, Tian; Zhang, Xinyu - In: Essays in honor of Subal Kumbhakar, (pp. 99-131). 2024

Persistent link: https://www.econbiz.de/10014559151

A study of China's financial market risks in the context of Covid-19, based on a rolling generalized autoregressive score model using the asymmetric Laplace distribution

Han, Guanghui; Liu, Panpan; Zhang, Yueqiang; Li, Xiaobo - In: The journal of risk model validation 18 (2024) 1, pp. 83-96

Persistent link: https://www.econbiz.de/10014556673

Can factor momentum beat momentum factor? : evidence from China

Ouyang, Ruolan; Zhang, Kun; Zhang, Xuan; Zhu, Dongming - In: Finance research letters 62 (2024) 1, pp. 1-12

While existing studies have not detected a significant standard momentum in the A-share market, recent literature has documented several modified momentum factors. Echoing the findings of Ehsani and Linnainmaa (2022), our study identifies strong factor momentum in the A-share market. Factor...

Persistent link: https://www.econbiz.de/10014530711

Volatility forecast with the regularity modifications

Zhu, Qinwen; Diao, Xundi; Wu, Chongfeng - In: Finance research letters 58 (2023) 1, pp. 1-10

Persistent link: https://www.econbiz.de/10014582373

Implied probability kernel block bootstrap for times series moment condition models

Parente, Paulo M. D. C.; Smith, Richard J. - 2024

This article generalizes and extends the kernel block bootstrap (KBB) method of Parente and Smith (2018, 2021) to provide a comprehensive treatment of its use for GMM estimation and inference in time-series models formulated in terms of moment conditions. KBB procedures that employ bootstrap...

Persistent link: https://www.econbiz.de/10014520806