Trending Time-Varying Coefficient Models With Serially Correlated Errors
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Cited by:
- Zongwu Cai & Xian Wang, 2013. "Nonparametric Methods for Estimating Conditional VaR and Expected Shortfall," Working Papers 2013-10-14, Wang Yanan Institute for Studies in Economics (WISE), Xiamen University.
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Keywords
Bandwidth selection; Boundary effects; Fixed design; Functional coefficient models; Local linear fitting; Misspecification test;All these keywords.
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