Fiscal policy and asset markets: a semiparametric analysis

DOI10.1016/J.JECONOM.2008.09.007zbMath1429.62671OpenAlexW3126084920MaRDI QIDQ299268

Dennis W. Jansen, Zijun Wang, Jian Yang, Q. Li

Publication date: 22 June 2016

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

Full work available at URL: https://doi.org/10.1016/j.jeconom.2008.09.007

zbMATH Keywords

stock marketsemiparametric estimationmonetary policyfiscal deficits

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Density estimation (62G07) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic properties of nonparametric inference (62G20) Macroeconomic theory (monetary models, models of taxation) (91B64)

Related Items (3)

An improved estimation to make Markowitz's portfolio optimization theory users friendly and estimation accurate with application on the US stock market investment ⋮ Operational aspect of the policy coordination for financial stability: role of Jeffreys-Lindley's paradox in operations research ⋮ Adaptive estimation of heteroskedastic functional-coefficient regressions with an application to fiscal policy evaluation on asset markets

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