Three essays on nonstationary financial econometrics
This dissertation consists of three essays that contribute to the theory of nonstationary time-series analysis. The first chapter explores the inference procedures for predictive regressions with time-varying characteristics. We extend the self-generated instrumentation, called IVX, to incorporate p...
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| 格式: | text |
| 語言: | English |
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Institutional Knowledge at Singapore Management University
2021
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| 在線閱讀: | https://ink.library.smu.edu.sg/etd_coll/350 https://ink.library.smu.edu.sg/cgi/viewcontent.cgi?article=1343&context=etd_coll |
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| 機構: | Singapore Management University |
| 語言: | English |