Now showing items 21-30 of 238
Confidence Corridorsfor MultivariateGeneralizedQuantile Regression
We focus on the construction of confidence corridors for multivariate nonparametric generalized quantile regression functions. This construction is based on asymptotic results for the maximal deviation between a suitable ...
Nonparametric Test fora Constant Beta over aFixed Time Interval
We derive a nonparametric test for constant (continuous) beta over a fixed interval of time. Continuous beta is defined as the ratio of the continuous covariation between an asset and observable risk factor (e.g., the ...
Information Risk, MarketStress and InstitutionalHerding in FinancialMarkets
New EvidenceThrough the Lens of aSimulated Model
This paper employs numerical simulations of the Park and Sabourian (2011) herd model to derive new theory-based predictions for how information risk and market stress influence aggregate herding intensity. We test these ...
Do Maternal HealthProblems InfluenceChild's WorryingStatus?
Evidence from BritishCohort Study
The influence of maternal health problems on child's worrying status is important in practice in terms of the intervention of maternal health problems early for the influence on child's worrying status. Conventional methods ...
Inflation ExpectationsSpillovers between theUnited States and EuroArea
We quantify spillovers of inflation expectations between the United States (US) and Euro Area (EA) based on break-even inflation (BEI) rates. In contrast to previous studies, we model US and EA BEI rates jointly in a ...