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GENERALIZED QUASI-LIKELIHOOD RATIO TESTS FOR VARYING COEFFICIENT QUANTILE REGRESSION MODELS
Title
GENERALIZED QUASI-LIKELIHOOD RATIO TESTS FOR VARYING COEFFICIENT QUANTILE REGRESSION MODELS
Author
Wang, Yonggang
Date Created
2013
Subjects--Topical
Statistics
Description
Quantile regression models which can track the relationship of predictive variables and the response variable in specific quantiles are especially useful in applications when extreme quantiles instead of the center of the distribution are interest...
Nonparametric Pricing Kernel Models
Title
Nonparametric Pricing Kernel Models
Author
Sun, Linman
Date Created
2011
Subjects--Topical
Mathematics
Description
The capital asset pricing model (CAPM) and the arbitrage asset pricingtheory (APT) have been the cornerstone in theoretical and empirical finance for the recent few decades. The classical CAPM usually assumes a simple and stable linear relationshi...
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...