Search results

  • CSV Spreadsheet
  • RSS Feed
(1 - 3 of 3)
NONPARAMETRIC PREDICTIVE REGRESSION
Title
NONPARAMETRIC PREDICTIVE REGRESSION
Author
Yu, Xintian
Date Created
2016
Subjects--Topical
Statistics, Finance, Economics
Description
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 establi...
TESTING PREDICTABILITY OF ASSET RETURNS
Title
TESTING PREDICTABILITY OF ASSET RETURNS
Author
Wu, Li
Date Created
2014
Subjects--Topical
Statistics, Finance
Description
In this paper, a L2 type nonparametric test is developed to test a specific nonlinear parametric regression model with near-integrated regressors. The asymptotic distributions of the proposed test statistic under both null and alternative hypothes...
VARIABLE SELECTION FOR FUNCTIONAL INDEX COEFFICIENT MODELS AND ITS APPLICATIONS IN FINANCE AND ENGINEERING
Title
VARIABLE SELECTION FOR FUNCTIONAL INDEX COEFFICIENT MODELS AND ITS APPLICATIONS IN FINANCE AND ENGINEERING
Author
Yang, Bingduo
Date Created
2012
Subjects--Topical
Engineering, Statistics, Finance
Description
Variable selection with a non-concave penalty function has become popular in recent years, since it has ability to select significant variables and to estimate unknown regression coefficients simultaneously. In this dissertation, I consider variab...