We introduce a new class of semiparametric dynamic autoregressive models for the Amihud
illiquidity measure, which captures both the long-run trend in the illiquidity series with a …

It is common for long financial time series to exhibit gradual change in the unconditional
volatility. We propose a new model that captures this type of nonstationarity in a …

We develop a novel estimation methodology for an additive nonparametric panel model that
is suitable for capturing the pricing of coupon-paying government bonds followed over many …

We propose the use of indirect inference estimation to conduct inference in complex locally
stationary models. We develop a local indirect inference algorithm and establish the …

We derive a unified and general framework for estimation and inference in a large class of
parametric models of time-varying unconditional volatility of financial return, both univariate …

We develop estimation methodology for an additive nonparametric panel model that is
suitable for capturing the pricing of coupon-paying government bonds followed over many …

We investigate a wide range of statistical models commonly used in many business and
financial econometrics applications and propose flexible ways to combine these highly …

본 논문에서는 반모수 단일지표 (semiparnmetric single index) 모형을 이용하여 한국 주식시장
수익률의 변동성을 분석하였다. 반모수 단일지표 모형은 변동성의 단기적 변동을 설명하는 …