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Keyword: nonparametric estimation.;
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Gregory Connor and Oliver Linton
We introduce an alternative version of the Fama-French three-factor model of stock returns together with a new estimation methodology. We assume that the factor betas in the model are smooth nonlinear functions of observ...Read more...
Oliver Linton and Mototsugu Shintani
This paper derives the asymptotic distribution of nonparametric neural network estimator of the Lyapunov exponent in a noisy system proposed by Nychka et al (1992) and others. Positivity of the Lyapunov exponent is an op...Read more...