Oil prices, US stock return, and the dependence between their quantiles
Keywords: G10; C01; C14; G14; Oil prices; Stock return; Local linear regression; Quantile regression;
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Can we reject linearity in an HAR-RV model for the S&P 500? Insights from a nonparametric HAR-RV
Keywords: C12; C13; C14; C22; C52; C58; G1; Nonparametric; Realized volatility; HAR; Heterogeneous; Autoregressive;
Estimation of extreme value-at-risk: An EVT approach for quantile GARCH model
Keywords: C1; C5; C14; Extreme value theory; GARCH; Quantile regression; Semiparametric; Value at risk;
An MPEC estimator for misclassification models
Keywords: C6; C14; Mathematical Programming with Equilibrium Constraints (MPEC); Misclassification models; Nonparametric estimation;
Do the world's largest cities follow Zipf's and Gibrat's laws?
Keywords: D30; C14; R23; Gibrat's law; Growth process; Size distribution; World's largest cities; Zipf's law;
Bipower variation with jumps and correlated returns
Keywords: C1; C13; C14; Bipower variation; Fractal Brownian motion; Volatility; Jump;
Sheep in Wolf's clothing: Using the least squares criterion for quantile estimation
Keywords: C13; C14; C21; Quantile coupling; Quantile model; Least squares estimation;
Precious metal mutual fund performance appraisal using DEA modeling
Keywords: C14; G20; G23; Precious metal mutual funds; Efficiency; Data envelopment analysis;
Archimedean copulas derived from utility functions
Keywords: C02; C14; D81; IM10; IE12; IE43; Copula; Archimedean generator; Utility function; Risk aversion; Dependence;
Treatment effect estimation with covariate measurement error
Keywords: C01; C14; Measurement error; Potential outcomes; Parameter asymptotics; Treatment effects;
Small-sample inference with spatial HAC estimators
Keywords: C12; C14; Spatial econometrics; HAC estimation; Robust estimation;
Modeling gasoline demand in the United States: A flexible semiparametric approach
Keywords: C14; Q41; Q54; Gasoline demand; Price elasticity; Income elasticity; Semiparametric estimation;
(International) R&D collaboration and SMEs: The effectiveness of targeted public R&D support schemes
Keywords: C14; C30; H23; O31; O38; Public innovation policy; Subsidies; R&D; SMEs; International collaboration; Treatment effects;
Nonparametric inference for counterfactual means: Bias-correction, confidence sets, and weak IV
Keywords: C14; C15; C19; Average treatment effect; Counterfactual mean outcome; Kernel estimation; Partial identification;
Contagion, decoupling and the spillover effects of the US financial crisis: Evidence from the BRIC markets
Keywords: Stock markets; Nonlinear causality; Filtering; GJR-GARCH; Multivariate GARCH models; Spillovers; C14; C58; G15; C51; C52;
A Î-moment approach to monotonic boundary estimation
Keywords: C13; C14; D20; Cost function; Edge data; Extreme-value index; Free disposal hull; Moment frontier;
Cross-hedging strategies between CDS spreads and option volatility during crises
Keywords: Credit default swap; Term structure; Implied volatility surface; Factor decomposition; Market linkages; Cross-hedging; C14; C58; G12; G13;
Bayesian regression with heteroscedastic error density and parametric mean function
Keywords: C11; C14; Bayesian semi-parametrics; Bayesian conditional density estimation; Heteroscedastic linear regression;
Co-dependence of extreme events in high frequency FX returns
Keywords: High frequency returns; Distributional characteristics; Multidimensional risk; Dependence in risk; Extreme risk assessment; Multidimensional value at risk; C14; C51;
Estimating a semiparametric asymmetric stochastic volatility model with a Dirichlet process mixture
Keywords: C11; C14; C53; C58; Bayesian nonparametrics; Dirichlet process mixture; Leverage effect; Stochastic volatility;
Comparing the accuracy of multivariate density forecasts in selected regions of the copula support
Keywords: C12; C14; C32; C52; C53; Copula; Density forecast evaluation; Kullback-Leibler Information Criterion; Out-of-sample forecast evaluation;
Sieve M inference on irregular parameters
Keywords: C12; C14; Irregular functional; Sieve M estimation; Sieve t statistic; Sieve likelihood ratio; Zero information; Semiparametric duration model;
Weighted KS statistics for inference on conditional moment inequalities
Keywords: C01; C14; C34; Moment inequalities; Set inference; Adaptive inference; Irregular identification;
The dynamics of exchange rate volatility: A panel VAR approach
Keywords: F31; C14; C33; F37Exchange rate volatility; Spectral analysis; High-frequency components of volatility; Financial variables; Panel VAR estimation and simulation
ON THE STRUCTURE OF FINANCIAL CONTAGION: ECONOMETRIC TESTS AND MERCOSUR EVIDENCE
Keywords: C14; C32; C51; G15; financial contagion; copulae; directed acyclic graphs; Bayesian belief networks;
Let's fix it: Fixed-b asymptotics versus small-b asymptotics in heteroskedasticity and autocorrelation robust inference
Keywords: C13; C14; C32; C51; Asymptotic expansion; F-distribution; Heteroskedasticity and autocorrelation robust; Long-run variance; Robust standard error; Testing-optimal smoothing parameter choice; Type I and type II errors;
Inconsistency of 2SLS estimators in threshold regression with endogeneity
Keywords: C13; C14; C21; Threshold regression; Endogeneity; Inconsistency; 2SLS estimator; Identification;
Time-spectral density and wavelets approaches. Comparative study. Applications to SP500 returns and US GDP
Keywords: C12; C14; C15; C32; E32; G12; Time-frequency domain; Time-spectral density; Wavelets; Covariance-stationarity; Monte Carlo simulation;
Nonlinearity in ASEAN-5 export-led growth model: Empirical evidence from nonparametric approach
Keywords: C14; C32; F4; Export-led growth; Nonparametric cointegration; Nonlinear causality;
Macro fundamentals as a source of stock market volatility in China: A GARCH-MIDAS approach
Keywords: C14; C22; C58; G10; G15; E44; MIDAS; Conditional variance; China;
Fitting semiparametric Markov regime-switching models to electricity spot prices
Keywords: C01; C14; C22; C24; C51; Q40; Electricity spot prices; Mean-reversion; Markov regime-switching; Robust estimation; Semiparametric estimation; Simulation study;
Estimating the degree of operating efficiency gains from a potential bank merger and acquisition: A DEA bootstrapped approach
Keywords: C14; C61; G21; Data envelopment analysis; Bootstrap techniques; Mergers and acquisitions; Bank efficiency; Greek fiscal crisis;
Inference on an extended Roy model, with an application to schooling decisions in France
Keywords: C14; C25; J24; Roy model; Nonparametric identification; Schooling choices; ex ante returns to schooling;
Identification and N-consistent estimation of a nonlinear panel data model with correlated unobserved effects
Keywords: C14; C23; I20; J24; Correlated random effects; Single index; Semiparametric; Panel data; Predetermined; Lagged dependent variables;
Efficient semiparametric estimation for endogenously stratified regression via smoothed likelihood
Keywords: C14; C24; C25; Semiparametric estimation; Asymptotic efficiency; Endogenously stratified regression;
Distribution free estimation of heteroskedastic binary response models using Probit/Logit criterion functions
Keywords: C13; C14; C24; Binary response; Heteroskedasticity; Probit/Logit; Sieve estimation;
Tests for m-dependence based on sample splitting methods
Keywords: C14; F31; F37; m-dependence; Sample splitting; Pooled method; Wald method; Minimum/maximum/median method; Expectations hypothesis;
Nonparametric learning rules from bandit experiments: The eyes have it!
Keywords: D83; C91; C14; Learning; Belief dynamics; Experiments; Eye tracking; Bayesian vs. non-Bayesian learning;
Heteroskedasticity and spatiotemporal dependence robust inference for linear panel models with fixed effects
Keywords: C13; C14; C23; Adaptiveness; Panel HAC estimator; F-approximation; Fixed-smoothing asymptotics; Fixed-effects 2SLS; Increasing-smoothing asymptotics; Optimal bandwidth; Spatiotemporal dependence;
Keywords: C14; Q15; Q24Farmland values; Quantile regression; Natural amenity; Direct and indirect farm payments; Conservation reserve payments
Forecasting natural gas spot prices with nonlinear modeling using Gamma test analysis
Keywords: Natural gas; Spot price forecasting; Gamma test; Nonparametric nonlinear model; Q42; Q47; C14; C45;
Estimating returns to education when the IV sample is selective
Keywords: J24; I21; C14; C31; P52Returns to education; Sample selection; Instrument variable estimation; Chinese labor market; Generalized nonparametric estimation
A long-run relationship between stock price index and exchange rate: A structural nonparametric cointegrating regression approach
Keywords: C14; G15; F31Stock prices; Exchange rates; Structural nonparametric cointegrating regression
Structural change and phase variation: A re-examination of the q-model using wavelet exploratory analysis
Keywords: C14; C29; C52; E22; E44q-Model; Structural breaks; Wavelet exploratory analysis; Phase variation
A new method for estimating liquidity risk: Insights from a liquidity-adjusted CAPM framework
Keywords: C14; G1; G12; Model-free liquidity betas; Liquidity-adjusted CAPM; High-frequency data; Realized betas;
Estimation of the spatial weights matrix under structural constraints
Keywords: C14; C15; C30; C31; R21; R31Spatial econometrics; Spatial autocorrelation; Spatial weights matrix; Spatial error model; Partial identification; Housing demand; Gradient projection
Nonlinear dynamics and recurrence plots for detecting financial crisis
Keywords: C14; C40; E32; G01Nonlinearity analysis; Surrogates; Delay vector variance (DVV) method; Wavelets; Financial bubbles; Embedding parameters; Recurrence plots
Poisson indices of segregation
Keywords: C14; C21; J15Spatial segregation; Spatial processes; Nonparametric estimation
Asymmetry effects of shocks in Chinese stock markets volatility: A generalized additive nonparametric approach
Keywords: G15; C14; Asymmetry effect; Nonparametric GARCH model; Chinese stockmarket; News impact curve; Additive approach;
The multiscale causal dynamics of foreign exchange markets
Keywords: C14; C32; C51; F31Exchange rates; Wavelets; Neural networks; Causality; Entropy; Forecasting