NONPARAMETRIC PREDICTIVE REGRESSION

1 online resource (59 pages) : PDF

2016

University of North Carolina at Charlotte

In financial time series nonlinear effects and time-varying effects are observed. In this dissertation we propose a predictive regression model with time varying coefficients and functional coefficients. It allows for nonstationary predictors. We establish asymptotics for the coefficient estimation and show oracle properties of the resulting estimators under stationary and nonstationary settings. Simulations demonstrate good finite sample performance of our estimators. A real example illustrates the use of our methodology.

doctoral dissertations

Statistics
Finance
Economics

Ph.D.

Functional Coefficients
Nonstationary Predictors
Oracle Properties
Predictive Regression
Time Varying Coefficients

Applied Mathematics

Jiang, Jiancheng

Sun, Yanqing
Zhang, Zhiyi
Guo, Juntao

Thesis (Ph.D.)--University of North Carolina at Charlotte, 2016.

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Yu_uncc_0694D_11232

http://hdl.handle.net/20.500.13093/etd:927