Semi-parametric estimation of generalized partially linear single-index models
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References listed on IDEAS
- Robinson, Peter M, 1988. "Root- N-Consistent Semiparametric Regression," Econometrica, Econometric Society, vol. 56(4), pages 931-954, July.
- Yingcun Xia & Howell Tong & W. K. Li & Li-Xing Zhu, 2002. "An adaptive estimation of dimension reduction space," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 64(3), pages 363-410.
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CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Tanha, Hassan & Dempsey, Michael, 2015. "The asymmetric response of volatility to market changes and the volatility smile: Evidence from Australian options," Research in International Business and Finance, Elsevier, vol. 34(C), pages 164-176.
- Ormos, Mihály & Timotity, Dusan, 2016.
"Unravelling the asymmetric volatility puzzle: A novel explanation of volatility through anchoring,"
Elsevier, vol. 40(3), pages 345-354.
- Mihaly Ormos & Dusan Timotity, 2016. "Unravelling the Asymmetric Volatility Puzzle: A Novel Explanation of Volatility Through Anchoring," Papers 1606.03597, arXiv.org.
- Bugge, Sebastian A. & Guttormsen, Haakon J. & Molnár, Peter & Ringdal, Martin, 2016. "Implied volatility index for the Norwegian equity market," International Review of Financial Analysis, Elsevier, vol. 47(C), pages 133-141.
- Aboura, Sofiane & Wagner, Niklas, 2016.
"Extreme asymmetric volatility: Stress and aggregate asset prices,"
Journal of International Financial Markets, Institutions and Money,
Elsevier, vol. 41(C), pages 47-59.
- Sofiane Aboura & Niklas Wagner, 2015. "Extreme asymmetric volatility: Stress and aggregate asset prices," Post-Print hal-01275450, HAL.
More about this item
KeywordsAsymptotic distribution; Generalized partially linear model; Local linear smoother; Optimal consistency rate; Single-index model;
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