Three essays on nonstationary financial econometrics

• المؤلف الرئيسي: ZHANG, Yajie
• التنسيق: text
• اللغة: English
• منشور في: Institutional Knowledge at Singapore Management University 2021
• الموضوعات: IVX method; Time-varying coefficient; Sieve estimation; Predictive regression; Robustness; Econometrics
• الوصول للمادة أونلاين: https://ink.library.smu.edu.sg/etd_coll/350; https://ink.library.smu.edu.sg/cgi/viewcontent.cgi?article=1343&context=etd_coll

This dissertation consists of three essays that contribute to the theory of nonstationary time-series analysis. The first chapter explores the inference procedures for predictive regressions with time-varying characteristics. We extend the self-generated instrumentation, called IVX, to incorporate p...