Nonparametric estimation of infinite order regression and its application to the risk-return tradeoff
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Publication:2224887
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
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)
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