Nonparametric estimation of infinite order regression and its application to the risk-return tradeoff

DOI10.1016/j.jeconom.2020.03.009zbMath1464.62261OpenAlexW2901549423MaRDI QIDQ2224887

Seok Young Hong, Oliver B. Linton

Publication date: 4 February 2021

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://www.repository.cam.ac.uk/handle/1810/288755

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Nonparametric regression and quantile regression (62G08) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic properties of nonparametric inference (62G20) Nonparametric estimation (62G05)

Related Items

Market price of risk estimation: Does distribution matter?, On nonparametric estimation of a nonparametric autoregressive conditionally heteroscedastic process, Dimension reduction in time series under the presence of conditional heteroscedasticity, Editorial. Special issue of the Journal of Econometrics on ``Econometric estimation and testing: essays in honour of Maxwell King

Uses Software

• fda (R)
• DLMF

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