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Susan Orbe

Personal Details

First Name:Susan
Middle Name:
Last Name:Orbe
Suffix:
RePEc Short-ID:por150
[This author has chosen not to make the email address public]

Affiliation

Facultad de Economía y Empresa
Universidad del País Vasco - Euskal Herriko Unibertsitatea

Bilbao, Spain
https://www.ehu.eus/es/web/ekonomia-enpresa-fakultatea/hasiera
RePEc:edi:fcehues (more details at EDIRC)

Research output

as
Jump to: Working papers Articles

Working papers

  1. E. Ferreira & S. Orbe & J. Ascorbebeitia & B. 'Alvarez Pereira & E. Estrada, 2021. "Loss of structural balance in stock markets," Papers 2104.06254, arXiv.org.
  2. Isabel Casas & Eva Ferreira & Susan Orbe, 2017. "Time-varying coefficient estimation in SURE models. Application to portfolio management," CREATES Research Papers 2017-33, Department of Economics and Business Economics, Aarhus University.
  3. Nieto Domenech, Belén & Orbe Mandaluniz, Susan & Zárraga Alonso, Ainhoa, 2011. "Time-Varying Beta Estimators in the Mexican Emerging Market," BILTOKI 1134-8984, Universidad del País Vasco - Departamento de Economía Aplicada III (Econometría y Estadística).
  4. Ferreira García, María Eva & Gil Bazo, Javier & Orbe Mandaluniz, Susan, 2010. "Conditional beta pricing models: A nonparametric approach," BILTOKI 1134-8984, Universidad del País Vasco - Departamento de Economía Aplicada III (Econometría y Estadística).
  5. Ferreira, Eva & Gil-Bazo, Javier & Orbe, Susan, 2008. "Nonparametric estimation of conditional beta pricing models," DEE - Working Papers. Business Economics. WB wb082403, Universidad Carlos III de Madrid. Departamento de Economía de la Empresa.
  6. Mariel Chladkova, Petr & Orbe Mandaluniz, Susan, 2007. "Benchmarking of patents: An application of GAM methodology," BILTOKI 1134-8984, Universidad del País Vasco - Departamento de Economía Aplicada III (Econometría y Estadística).
  7. Mariel Chladkova, Petr & Orbe Mandaluniz, Susan & Rodríguez González, Carlos, 2007. "A time varying coefficient model for panel data: Foreign Direct Investment in European OECD countries," BILTOKI 1134-8984, Universidad del País Vasco - Departamento de Economía Aplicada III (Econometría y Estadística).
  8. Esteban González, María Victoria & Orbe Mandaluniz, Susan, 2006. "Nonparametric estimation betas in the Market Model," BILTOKI 1134-8984, Universidad del País Vasco - Departamento de Economía Aplicada III (Econometría y Estadística).
  9. Orbe Mandaluniz, Susan & Ferreira García, María Eva & Rodríguez Poo, Juan M., 2001. "Nonparametric estimation of time varying parameters under shape restrictions," BILTOKI 1134-8984, Universidad del País Vasco - Departamento de Economía Aplicada III (Econometría y Estadística).

Articles

  1. Isabel Casas & Eva Ferreira & Susan Orbe, 2021. "Time-Varying Coefficient Estimation in SURE Models. Application to Portfolio Management," Journal of Financial Econometrics, Oxford University Press, vol. 19(4), pages 707-745.
  2. Mara-José Gutiérrez & Belén Inguanzo & Susan Orbe, 2021. "Distributional impact of COVID-19: regional inequalities in cases and deaths in Spain during the first wave," Applied Economics, Taylor & Francis Journals, vol. 53(31), pages 3636-3657, July.
  3. Casilda Lasso De La Vega & Agurtzane Lekuona & Susan Orbe, 2020. "Reexamining the inequality of opportunity in education in some European countries," Applied Economics Letters, Taylor & Francis Journals, vol. 27(7), pages 544-548, April.
  4. Eva Ferreira & Susan Orbe, 2018. "Why are there time-varying comovements in the European stock market?," The European Journal of Finance, Taylor & Francis Journals, vol. 24(10), pages 828-848, July.
  5. M. V. Esteban & E. Ferreira & S. Orbe-Mandaluniz, 2015. "Nonparametric methods for estimating and testing for constant betas in asset pricing models," Applied Economics, Taylor & Francis Journals, vol. 47(25), pages 2577-2607, May.
  6. Ferreira, Eva & Gil-Bazo, Javier & Orbe, Susan, 2011. "Conditional beta pricing models: A nonparametric approach," Journal of Banking & Finance, Elsevier, vol. 35(12), pages 3362-3382.
  7. Maria Victoria Esteban & Susan Orbe-Mandaluniz, 2010. "A nonparametric approach for estimating betas: the smoothed rolling estimator," Applied Economics, Taylor & Francis Journals, vol. 42(10), pages 1269-1279.
  8. Petr Mariel & Susan Orbe, 2009. "Nonparametric Approach to Patent Citations," Prague Economic Papers, Prague University of Economics and Business, vol. 2009(3), pages 251-266.
  9. Petr Mariel & Susan Orbe & Carlos Rodríguez, 2009. "The Knowledge‐Capital Model Of Fdi: A Time Varying Coefficients Approach," Scottish Journal of Political Economy, Scottish Economic Society, vol. 56(2), pages 196-212, May.
  10. Orbe, Susan & Ferreira, Eva & Rodriguez-Poo, Juan, 2005. "Nonparametric estimation of time varying parameters under shape restrictions," Journal of Econometrics, Elsevier, vol. 126(1), pages 53-77, May.
  11. Orbe, Susan & Ferreira, Eva & Rodriguez-Poo, Juan, 2003. "An algorithm to estimate time-varying parameter SURE models under different types of restriction," Computational Statistics & Data Analysis, Elsevier, vol. 42(3), pages 363-383, March.

Citations

Many of the citations below have been collected in an experimental project, CitEc, where a more detailed citation analysis can be found. These are citations from works listed in RePEc that could be analyzed mechanically. So far, only a minority of all works could be analyzed. See under "Corrections" how you can help improve the citation analysis.

Working papers

  1. E. Ferreira & S. Orbe & J. Ascorbebeitia & B. 'Alvarez Pereira & E. Estrada, 2021. "Loss of structural balance in stock markets," Papers 2104.06254, arXiv.org.

    Cited by:

    1. Paolo Bartesaghi & Fernando Diaz-Diaz & Rosanna Grassi & Pierpaolo Uberti, 2024. "Global Balance and Systemic Risk in Financial Correlation Networks," Papers 2407.14272, arXiv.org.

  2. Isabel Casas & Eva Ferreira & Susan Orbe, 2017. "Time-varying coefficient estimation in SURE models. Application to portfolio management," CREATES Research Papers 2017-33, Department of Economics and Business Economics, Aarhus University.

    Cited by:

    1. Dean Fantazzini & Julia Pushchelenko & Alexey Mironenkov & Alexey Kurbatskii, 2021. "Forecasting Internal Migration in Russia Using Google Trends: Evidence from Moscow and Saint Petersburg," Forecasting, MDPI, vol. 3(4), pages 1-30, October.
    2. E. Ferreira & S. Orbe & J. Ascorbebeitia & B. 'Alvarez Pereira & E. Estrada, 2021. "Loss of structural balance in stock markets," Papers 2104.06254, arXiv.org.
    3. Casas Villalba, Maria Isabel, 2020. "Adaptative predictability of stock market returns," DES - Working Papers. Statistics and Econometrics. WS 31648, Universidad Carlos III de Madrid. Departamento de Estadística.
    4. Isabel Casas & Xiuping Mao & Helena Veiga, 2018. "Reexamining financial and economic predictability with new estimators of realized variance and variance risk premium," CREATES Research Papers 2018-10, Department of Economics and Business Economics, Aarhus University.
    5. Fu, Zhonghao & Hong, Yongmiao & Su, Liangjun & Wang, Xia, 2023. "Specification tests for time-varying coefficient models," Journal of Econometrics, Elsevier, vol. 235(2), pages 720-744.
    6. Armin Pourkhanali & Jonathan Keith & Xibin Zhang, 2021. "Conditional Heteroscedasticity Models with Time-Varying Parameters: Estimation and Asymptotics," Monash Econometrics and Business Statistics Working Papers 15/21, Monash University, Department of Econometrics and Business Statistics.
    7. Loïc Maréchal, 2021. "Do economic variables forecast commodity futures volatility?," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 41(11), pages 1735-1774, November.

  3. Nieto Domenech, Belén & Orbe Mandaluniz, Susan & Zárraga Alonso, Ainhoa, 2011. "Time-Varying Beta Estimators in the Mexican Emerging Market," BILTOKI 1134-8984, Universidad del País Vasco - Departamento de Economía Aplicada III (Econometría y Estadística).

    Cited by:

    1. Sibel Celik, 2013. "Testing the Stability of Beta: A Sectoral Analysis in Turkish Stock Market," Journal of Economics and Behavioral Studies, AMH International, vol. 5(1), pages 18-23.

  4. Orbe Mandaluniz, Susan & Ferreira García, María Eva & Rodríguez Poo, Juan M., 2001. "Nonparametric estimation of time varying parameters under shape restrictions," BILTOKI 1134-8984, Universidad del País Vasco - Departamento de Economía Aplicada III (Econometría y Estadística).

    Cited by:

    1. Orbe, Susan & Ferreira, Eva & Rodriguez-Poo, Juan, 2003. "An algorithm to estimate time-varying parameter SURE models under different types of restriction," Computational Statistics & Data Analysis, Elsevier, vol. 42(3), pages 363-383, March.

Articles

  1. Isabel Casas & Eva Ferreira & Susan Orbe, 2021. "Time-Varying Coefficient Estimation in SURE Models. Application to Portfolio Management," Journal of Financial Econometrics, Oxford University Press, vol. 19(4), pages 707-745.
    See citations under working paper version above.
  2. Mara-José Gutiérrez & Belén Inguanzo & Susan Orbe, 2021. "Distributional impact of COVID-19: regional inequalities in cases and deaths in Spain during the first wave," Applied Economics, Taylor & Francis Journals, vol. 53(31), pages 3636-3657, July.

    Cited by:

    1. Boto-García, David & Mayor, Matías, 2022. "Domestic tourism and the resilience of hotel demand," Annals of Tourism Research, Elsevier, vol. 93(C).
    2. Boto-García, David, 2023. "Investigating the two-way relationship between mobility flows and COVID-19 cases," Economic Modelling, Elsevier, vol. 118(C).
    3. Inmaculada C. Álvarez & Luis Orea & Alan Wall, 2023. "Estimating the propagation of both reported and undocumented COVID-19 cases in Spain: a panel data frontier approximation of epidemiological models," Journal of Productivity Analysis, Springer, vol. 59(3), pages 259-279, June.

  3. Casilda Lasso De La Vega & Agurtzane Lekuona & Susan Orbe, 2020. "Reexamining the inequality of opportunity in education in some European countries," Applied Economics Letters, Taylor & Francis Journals, vol. 27(7), pages 544-548, April.

    Cited by:

    1. Salas Rojo, Pedro & Rodríguez, Juan Gabriel, 2021. "The distribution of wealth in Spain and the USA: the role of socioeconomic factors," LSE Research Online Documents on Economics 120915, London School of Economics and Political Science, LSE Library.
    2. Petcu Ionela-Roxana, 2022. "The Role Of Education In Rural-Urban Wage Gap For Romania: A Blinder-Oaxaca Decomposition," Annals - Economy Series, Constantin Brancusi University, Faculty of Economics, vol. 4, pages 216-224, August.
    3. Gustavo A. Marrero & Juan C. Palomino & Gabriela Sicilia, 2022. "Inequality of Opportunity in Educational Achievement in Western Europe: contributors and channels," Working Papers 612, ECINEQ, Society for the Study of Economic Inequality.

  4. Eva Ferreira & Susan Orbe, 2018. "Why are there time-varying comovements in the European stock market?," The European Journal of Finance, Taylor & Francis Journals, vol. 24(10), pages 828-848, July.

    Cited by:

    1. Alonso Conde, Ana B. & Rojo Suárez, Javier, 2022. "Trends in the explanatory power of factor-based asset pricing models in determining the cost of capital," Cuadernos de Gestión, Universidad del País Vasco - Instituto de Economía Aplicada a la Empresa (IEAE).
    2. Fenghua Wen & Kaiyan Weng & Wei-Xing Zhou, 2020. "Measuring the contribution of Chinese financial institutions to systemic risk: an extended asymmetric CoVaR approach," Risk Management, Palgrave Macmillan, vol. 22(4), pages 310-337, December.

  5. M. V. Esteban & E. Ferreira & S. Orbe-Mandaluniz, 2015. "Nonparametric methods for estimating and testing for constant betas in asset pricing models," Applied Economics, Taylor & Francis Journals, vol. 47(25), pages 2577-2607, May.

    Cited by:

    1. Alonso Conde, Ana B. & Rojo Suárez, Javier, 2022. "Trends in the explanatory power of factor-based asset pricing models in determining the cost of capital," Cuadernos de Gestión, Universidad del País Vasco - Instituto de Economía Aplicada a la Empresa (IEAE).
    2. Isabel Casas & Eva Ferreira & Susan Orbe, 2017. "Time-varying coefficient estimation in SURE models. Application to portfolio management," CREATES Research Papers 2017-33, Department of Economics and Business Economics, Aarhus University.

  6. Ferreira, Eva & Gil-Bazo, Javier & Orbe, Susan, 2011. "Conditional beta pricing models: A nonparametric approach," Journal of Banking & Finance, Elsevier, vol. 35(12), pages 3362-3382.

    Cited by:

    1. Szczepocki Piotr, 2019. "Clustering Companies Listed on the Warsaw Stock Exchange According to Time-Varying Beta," Econometrics. Advances in Applied Data Analysis, Sciendo, vol. 23(2), pages 63-79, June.
    2. Cai, Zongwu & Ren, Yu & Yang, Bingduo, 2015. "A semiparametric conditional capital asset pricing model," Journal of Banking & Finance, Elsevier, vol. 61(C), pages 117-126.
    3. Zongwu Cai & Ying Fang & Qiuhua Xu, 2020. "Testing Capital Asset Pricing Models using Functional-Coefficient Panel Data Models with Cross-Sectional Dependence," WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS 202009, University of Kansas, Department of Economics, revised Jul 2020.
    4. E. Ferreira & S. Orbe & J. Ascorbebeitia & B. 'Alvarez Pereira & E. Estrada, 2021. "Loss of structural balance in stock markets," Papers 2104.06254, arXiv.org.
    5. Mats Wilhelmsson & Jianyu Zhao, 2018. "Risk Assessment of Housing Market Segments: The Lender’s Perspective," JRFM, MDPI, vol. 11(4), pages 1-22, October.
    6. Cai, Zongwu & Fang, Ying & Xu, Qiuhua, 2022. "Testing capital asset pricing models using functional-coefficient panel data models with cross-sectional dependence," Journal of Econometrics, Elsevier, vol. 227(1), pages 114-133.
    7. Fu, Zhonghao & Hong, Yongmiao & Su, Liangjun & Wang, Xia, 2023. "Specification tests for time-varying coefficient models," Journal of Econometrics, Elsevier, vol. 235(2), pages 720-744.
    8. Isabel Casas & Eva Ferreira & Susan Orbe, 2017. "Time-varying coefficient estimation in SURE models. Application to portfolio management," CREATES Research Papers 2017-33, Department of Economics and Business Economics, Aarhus University.
    9. M. V. Esteban & E. Ferreira & S. Orbe-Mandaluniz, 2015. "Nonparametric methods for estimating and testing for constant betas in asset pricing models," Applied Economics, Taylor & Francis Journals, vol. 47(25), pages 2577-2607, May.
    10. Sun, Yang & Zhang, Xuan & Zhang, Zhekai, 2022. "The reduced-rank beta in linear stochastic discount factor models," International Review of Financial Analysis, Elsevier, vol. 84(C).
    11. Insana, Alessandra, 2022. "Does systematic risk change when markets close? An analysis using stocks’ beta," Economic Modelling, Elsevier, vol. 109(C).

  7. Maria Victoria Esteban & Susan Orbe-Mandaluniz, 2010. "A nonparametric approach for estimating betas: the smoothed rolling estimator," Applied Economics, Taylor & Francis Journals, vol. 42(10), pages 1269-1279.

    Cited by:

    1. Esteban González, María Victoria & Tusell Palmer, Fernando Jorge, 2009. "Predicting Betas: Two new methods," BILTOKI 1134-8984, Universidad del País Vasco - Departamento de Economía Aplicada III (Econometría y Estadística).
    2. Асатуров К.Г., 2015. "Динамические Модели Систематического Риска: Сравнение На Примере Индийского Фондового Рынка," Журнал Экономика и математические методы (ЭММ), Центральный Экономико-Математический Институт (ЦЭМИ), vol. 51(4), pages 59-75, октябрь.
    3. M. V. Esteban & E. Ferreira & S. Orbe-Mandaluniz, 2015. "Nonparametric methods for estimating and testing for constant betas in asset pricing models," Applied Economics, Taylor & Francis Journals, vol. 47(25), pages 2577-2607, May.
    4. Insana, Alessandra, 2022. "Does systematic risk change when markets close? An analysis using stocks’ beta," Economic Modelling, Elsevier, vol. 109(C).
    5. Nieto Domenech, Belén & Orbe Mandaluniz, Susan & Zárraga Alonso, Ainhoa, 2011. "Time-Varying Beta Estimators in the Mexican Emerging Market," BILTOKI 1134-8984, Universidad del País Vasco - Departamento de Economía Aplicada III (Econometría y Estadística).
    6. Mehmet Balcilar & Riza Demirer & Festus V. Bekun, 2021. "Flexible Time-Varying Betas in a Novel Mixture Innovation Factor Model with Latent Threshold," Mathematics, MDPI, vol. 9(8), pages 1-20, April.

  8. Petr Mariel & Susan Orbe & Carlos Rodríguez, 2009. "The Knowledge‐Capital Model Of Fdi: A Time Varying Coefficients Approach," Scottish Journal of Political Economy, Scottish Economic Society, vol. 56(2), pages 196-212, May.

    Cited by:

    1. Lin, Faqin, 2013. "Are distance effects really a puzzle?," Economic Modelling, Elsevier, vol. 31(C), pages 684-689.
    2. Kox, Henk L.M., 2022. "Linking the knowledge-capital model of foreign direct investment with national knowledge systems," EconStor Preprints 266495, ZBW - Leibniz Information Centre for Economics.
    3. Stack, Marie M. & Ravishankar, Geetha & Pentecost, Eric, 2017. "Foreign direct investment in the eastern European countries: Determinants and performance," Structural Change and Economic Dynamics, Elsevier, vol. 41(C), pages 86-97.
    4. Viktor Hultgren & Petr Mariel & Carlos Rodríguez González, 2011. "Structural Breaks and Spatial Linkages in FDI: Further Evidence in OECD Countries," Open Economies Review, Springer, vol. 22(5), pages 897-915, November.
    5. Kox, Henk L.M., 2022. "Testing the knowledge-capital model of foreign direct investment: New evidence," MPRA Paper 114177, University Library of Munich, Germany.
    6. Kox, Henk L.M., 2022. "Revisiting the knowledge-capital model of foreign direct investment: New multi-country evidence," MPRA Paper 114559, University Library of Munich, Germany, revised 14 Sep 2022.
    7. Chellaraj,Gnanaraj & Mattoo,Aaditya & Chellaraj,Gnanaraj & Mattoo,Aaditya, 2015. "Can the knowledge capital model explain foreign investment in services ? the case of Singapore," Policy Research Working Paper Series 7186, The World Bank.
    8. Maza, Adolfo & Gutiérrez-Portilla, Paula, 2022. "Outward FDI and exports relation: A heterogeneous panel approach dealing with cross-sectional dependence," International Economics, Elsevier, vol. 170(C), pages 174-189.
    9. Kox, Henk L.M., 2023. "Testing an extended knowledge-capital model of foreign direct investment," MPRA Paper 117266, University Library of Munich, Germany.
    10. Nguyen, Anh T.N. & Haug, Alfred A. & Owen, P. Dorian & Genç, Murat, 2020. "What drives bilateral foreign direct investment among Asian economies?," Economic Modelling, Elsevier, vol. 93(C), pages 125-141.

  9. Orbe, Susan & Ferreira, Eva & Rodriguez-Poo, Juan, 2005. "Nonparametric estimation of time varying parameters under shape restrictions," Journal of Econometrics, Elsevier, vol. 126(1), pages 53-77, May.

    Cited by:

    1. Gabe Chandler & Wolfgang Polonik, 2017. "Residual Empirical Processes and Weighted Sums for Time-Varying Processes with Applications to Testing for Homoscedasticity," Journal of Time Series Analysis, Wiley Blackwell, vol. 38(1), pages 72-98, January.
    2. Bernoth, Kerstin & Erdogan, Burcu, 2010. "Sovereign bond yield spreads: a time-varying coefficient approach," Discussion Papers 289, European University Viadrina Frankfurt (Oder), Department of Business Administration and Economics.
    3. Petr Mariel & Susan Orbe & Carlos Rodríguez, 2009. "The Knowledge‐Capital Model Of Fdi: A Time Varying Coefficients Approach," Scottish Journal of Political Economy, Scottish Economic Society, vol. 56(2), pages 196-212, May.
    4. Heejoon Han & Na Kyeong Lee, 2018. "Modeling the Dynamics between Stock Price and Dividend: An Endogenous Regime Switching Approach," Korean Economic Review, Korean Economic Association, vol. 34, pages 213-235.
    5. Samantha Leorato, 2008. "A refined Jensen’s inequality in Hilbert spaces and empirical approximations," CEIS Research Paper 134, Tor Vergata University, CEIS, revised 24 Nov 2008.
    6. Yih Su & Jing-Shiang Hwang, 2009. "A two-phase approach to estimating time-varying parameters in the capital asset pricing model," Journal of Applied Statistics, Taylor & Francis Journals, vol. 36(1), pages 79-89.
    7. George Kapetanios, 2005. "Estimating Deterministically Time-Varying Variances in Regression Models," Working Papers 540, Queen Mary University of London, School of Economics and Finance.
    8. Huazhen Lin & Hyokyoung G. Hong & Baoying Yang & Wei Liu & Yong Zhang & Gang-Zhi Fan & Yi Li, 2019. "Nonparametric Time-Varying Coefficient Models for Panel Data," Statistics in Biosciences, Springer;International Chinese Statistical Association, vol. 11(3), pages 548-566, December.
    9. Li, Kunming & Fang, Liting & He, Lerong, 2019. "How population and energy price affect China's environmental pollution?," Energy Policy, Elsevier, vol. 129(C), pages 386-396.
    10. Dennis Kristensen, 2008. "Uniform Convergence Rates of Kernel Estimators with Heterogenous, Dependent Data," CREATES Research Papers 2008-37, Department of Economics and Business Economics, Aarhus University.
    11. Ferreira García, María Eva & Gil Bazo, Javier & Orbe Mandaluniz, Susan, 2010. "Conditional beta pricing models: A nonparametric approach," BILTOKI 1134-8984, Universidad del País Vasco - Departamento de Economía Aplicada III (Econometría y Estadística).
    12. Liudas Giraitis & George Kapetanios & Simon Price, 2012. "Adaptive Forecasting in the Presence of Recent and Ongoing Structural Change," Working Papers 691, Queen Mary University of London, School of Economics and Finance.
    13. Frazier, David T. & Koo, Bonsoo, 2021. "Indirect inference for locally stationary models," Journal of Econometrics, Elsevier, vol. 223(1), pages 1-27.
    14. Jana Eklund & George Kapetanios & Simon Price, 2011. "Forecasting in the presence of recent structural change," CAMA Working Papers 2011-23, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
    15. Casas Villalba, Maria Isabel, 2020. "Adaptative predictability of stock market returns," DES - Working Papers. Statistics and Econometrics. WS 31648, Universidad Carlos III de Madrid. Departamento de Estadística.
    16. Zhang, Ting, 2015. "Semiparametric model building for regression models with time-varying parameters," Journal of Econometrics, Elsevier, vol. 187(1), pages 189-200.
    17. Russell Davidson & Niels S. Grønborg, 2018. "Time-varying parameters: New test tailored to applications in finance and macroeconomics," CREATES Research Papers 2018-22, Department of Economics and Business Economics, Aarhus University.
    18. Isabel Casas & Xiuping Mao & Helena Veiga, 2018. "Reexamining financial and economic predictability with new estimators of realized variance and variance risk premium," CREATES Research Papers 2018-10, Department of Economics and Business Economics, Aarhus University.
    19. Chen, Bin, 2015. "Modeling and testing smooth structural changes with endogenous regressors," Journal of Econometrics, Elsevier, vol. 185(1), pages 196-215.
    20. Ferreira, Eva & Gil-Bazo, Javier & Orbe, Susan, 2008. "Nonparametric estimation of conditional beta pricing models," DEE - Working Papers. Business Economics. WB wb082403, Universidad Carlos III de Madrid. Departamento de Economía de la Empresa.
    21. David T. Frazier & Bonsoo Koo, 2020. "Indirect Inference for Locally Stationary Models," Monash Econometrics and Business Statistics Working Papers 30/20, Monash University, Department of Econometrics and Business Statistics.
    22. Martín Rodríguez, Gloria & Cáceres Hernández, José Juan, 2010. "Splines and the proportion of the seasonal period as a season index," Economic Modelling, Elsevier, vol. 27(1), pages 83-88, January.
    23. Bin Chen & Kenwin Maung, 2020. "Time-varying Forecast Combination for High-Dimensional Data," Papers 2010.10435, arXiv.org.
    24. Chen, Bin & Maung, Kenwin, 2023. "Time-varying forecast combination for high-dimensional data," Journal of Econometrics, Elsevier, vol. 237(2).
    25. Kapetanios, George, 2008. "Bootstrap-based tests for deterministic time-varying coefficients in regression models," Computational Statistics & Data Analysis, Elsevier, vol. 53(2), pages 534-545, December.
    26. George Kapetanios, 2005. "Tests for Deterministic Parametric Structural Change in Regression Models," Working Papers 539, Queen Mary University of London, School of Economics and Finance.
    27. Kim, Kun Ho & Kim, Taejin, 2016. "Capital asset pricing model: A time-varying volatility approach," Journal of Empirical Finance, Elsevier, vol. 37(C), pages 268-281.
    28. Martin-Rodriguez, Gloria & Caceres-Hernandez, Jose Juan, 2009. "The Proportion of the Seasonal Period as a Season Index in Weekly Agricultural Data," 2009 Conference, August 16-22, 2009, Beijing, China 49956, International Association of Agricultural Economists.
    29. Ferreira, Eva & Gil-Bazo, Javier & Orbe, Susan, 2011. "Conditional beta pricing models: A nonparametric approach," Journal of Banking & Finance, Elsevier, vol. 35(12), pages 3362-3382.
    30. Baillie, Richard T. & Kim, Kun Ho, 2015. "Was it risk? Or was it fundamentals? Explaining excess currency returns with kernel smoothed regressions," Journal of Empirical Finance, Elsevier, vol. 34(C), pages 99-111.
    31. Fu, Zhonghao & Hong, Yongmiao & Su, Liangjun & Wang, Xia, 2023. "Specification tests for time-varying coefficient models," Journal of Econometrics, Elsevier, vol. 235(2), pages 720-744.
    32. Henderson, Daniel J. & Kumbhakar, Subal C. & Li, Qi & Parmeter, Christopher F., 2015. "Smooth coefficient estimation of a seemingly unrelated regression," Journal of Econometrics, Elsevier, vol. 189(1), pages 148-162.
    33. Isabel Casas & Eva Ferreira & Susan Orbe, 2017. "Time-varying coefficient estimation in SURE models. Application to portfolio management," CREATES Research Papers 2017-33, Department of Economics and Business Economics, Aarhus University.
    34. Isabel Casas & Jiti Gao & Shangyu Xie, 2018. "Modelling Time-Varying Income Elasticities of Health Care Expenditure for the OECD," CREATES Research Papers 2018-29, Department of Economics and Business Economics, Aarhus University.
    35. Cai, Zongwu, 2007. "Trending time-varying coefficient time series models with serially correlated errors," Journal of Econometrics, Elsevier, vol. 136(1), pages 163-188, January.
    36. George Kapetanios & Tony Yates, 2014. "Evolving UK and US macroeconomic dynamics through the lens of a model of deterministic structural change," Empirical Economics, Springer, vol. 47(1), pages 305-345, August.
    37. Weichi Wu & Zhou Zhou, 2017. "Nonparametric Inference for Time-Varying Coefficient Quantile Regression," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 35(1), pages 98-109, January.
    38. Mariel Chladkova, Petr & Orbe Mandaluniz, Susan & Rodríguez González, Carlos, 2007. "A time varying coefficient model for panel data: Foreign Direct Investment in European OECD countries," BILTOKI 1134-8984, Universidad del País Vasco - Departamento de Economía Aplicada III (Econometría y Estadística).
    39. Yousuf, Kashif & Ng, Serena, 2021. "Boosting high dimensional predictive regressions with time varying parameters," Journal of Econometrics, Elsevier, vol. 224(1), pages 60-87.
    40. Nieto Domenech, Belén & Orbe Mandaluniz, Susan & Zárraga Alonso, Ainhoa, 2011. "Time-Varying Beta Estimators in the Mexican Emerging Market," BILTOKI 1134-8984, Universidad del País Vasco - Departamento de Economía Aplicada III (Econometría y Estadística).
    41. Cizek, P. & Haerdle, W. & Spokoiny, V., 2007. "Adaptive Pointwise Estimation in Time-Inhomogeneous Time-Series Models," Discussion Paper 2007-35, Tilburg University, Center for Economic Research.
    42. George Kapetanios, 2007. "Testing for Strict Stationarity," Working Papers 602, Queen Mary University of London, School of Economics and Finance.
    43. Zhou Zhou & Wei Biao Wu, 2010. "Simultaneous inference of linear models with time varying coefficients," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 72(4), pages 513-531, September.
    44. Xingcai Zhou & Guang Yang & Yu Xiang, 2022. "Quantile-Wavelet Nonparametric Estimates for Time-Varying Coefficient Models," Mathematics, MDPI, vol. 10(13), pages 1-15, July.

  10. Orbe, Susan & Ferreira, Eva & Rodriguez-Poo, Juan, 2003. "An algorithm to estimate time-varying parameter SURE models under different types of restriction," Computational Statistics & Data Analysis, Elsevier, vol. 42(3), pages 363-383, March.

    Cited by:

    1. Guohua Feng & Jiti Gao & Xiaohui Zhang, 2016. "Estimation of Technical Change and Price Elasticities: A Categorical Time-varying Coefficient Approach," Monash Econometrics and Business Statistics Working Papers 2/16, Monash University, Department of Econometrics and Business Statistics.
    2. Kapetanios, George, 2008. "Bootstrap-based tests for deterministic time-varying coefficients in regression models," Computational Statistics & Data Analysis, Elsevier, vol. 53(2), pages 534-545, December.
    3. Henderson, Daniel J. & Kumbhakar, Subal C. & Li, Qi & Parmeter, Christopher F., 2015. "Smooth coefficient estimation of a seemingly unrelated regression," Journal of Econometrics, Elsevier, vol. 189(1), pages 148-162.
    4. Isabel Casas & Eva Ferreira & Susan Orbe, 2017. "Time-varying coefficient estimation in SURE models. Application to portfolio management," CREATES Research Papers 2017-33, Department of Economics and Business Economics, Aarhus University.
    5. Mauricio Calani & J. Rodrigo Fuentes & Klaus Schmidt-Hebbel, 2008. "A Systemic Approach to Money Demand Modeling," Working Papers Central Bank of Chile 512, Central Bank of Chile.
    6. Foschi, Paolo & Belsley, David A. & Kontoghiorghes, Erricos J., 2003. "A comparative study of algorithms for solving seemingly unrelated regressions models," Computational Statistics & Data Analysis, Elsevier, vol. 44(1-2), pages 3-35, October.
    7. Orbe, Susan & Ferreira, Eva & Rodriguez-Poo, Juan, 2005. "Nonparametric estimation of time varying parameters under shape restrictions," Journal of Econometrics, Elsevier, vol. 126(1), pages 53-77, May.

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NEP is an announcement service for new working papers, with a weekly report in each of many fields. This author has had 2 papers announced in NEP. These are the fields, ordered by number of announcements, along with their dates. If the author is listed in the directory of specialists for this field, a link is also provided.
  1. NEP-FMK: Financial Markets (2) 2012-02-08 2021-04-19
  2. NEP-CWA: Central and Western Asia (1) 2021-04-19
  3. NEP-ECM: Econometrics (1) 2012-02-08
  4. NEP-NET: Network Economics (1) 2021-04-19
  5. NEP-RMG: Risk Management (1) 2021-04-19

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