Semiparametric Estimation of Risk–Return Relationships

DOI10.1080/07350015.2015.1052879MaRDI QIDQ6616596zbMATH OpenFDO

Authors J. Carlos Escanciano, Juan Carlos Pardo-Fernández, Ingrid Van Keilegom

Publication date 9 October 2024

Published in Journal of Business and Economic Statistics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/07350015.2015.1052879

Mathematics Subject Classification ID

Applications of statistics to economics (62P20)

Cites work

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• Mixing: Properties and examples
• Optimal smoothing in single-index models
• Semiparametric least squares (SLS) and weighted SLS estimation of single-index models
• Simultaneous specification testing of mean and variance structures in nonlinear time series regression
• UNIFORM CONVERGENCE RATES FOR KERNEL ESTIMATION WITH DEPENDENT DATA
• Weak convergence and empirical processes. With applications to statistics

Cited in

(1)

• Dynamic Autoregressive Liquidity (DArLiQ)

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