| Title | Date | Views | Brief Description |
|---|
| Nonparametric pricing kernel models |
2011 |
558 |
The capital asset pricing model (CAPM) and the arbitrage asset pricing theory (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 relationship ... |
| Variable selection for functional index coefficient models and its applications in finance and engineering |
2012 |
350 |
Variable selection with a non-concave penalty function has become popular in recent years, since it has ability to select significant variables and to estimate unknown regression coefficients simultaneously. In this dissertation, I consider variable ... |
| Generalized quasi-likelihood ratio tests for varying coefficient quantile regression models |
2013 |
543 |
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 interesting... |