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Econometrics Paper
Nonparametric Regression with a Latent Time Series Oliver Linton, Søren Feodor Nielsen and Jens Perch Nielsen
October 2009
Paper No' EM/2009/538:
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JEL Classification: 62G07

Tags: kernel estimation; forecasting; panel data; unit roots

Econometrics Paper
Forecasting the density of asset returns Trino-Manuel Niguez and Javier Perote
October 2004
Paper No' EM/2004/479:
Read Abstract | Full Paper (pdf)

JEL Classification: C16; C53; G12

Tags: density forecasting; edgeworth-sargan distribution; probability integral transformations; p-value plots; var