dc.contributor.author | Casas, I. | |
dc.contributor.author | Ferreira, E. | |
dc.contributor.author | Susan, O. | |
dc.date.accessioned | 2018-05-22T18:31:19Z | |
dc.date.available | 2018-05-22T18:31:19Z | |
dc.date.issued | 2017-01-01 | |
dc.identifier.uri | http://hdl.handle.net/20.500.11824/796 | |
dc.description.abstract | This paper provides a detailed analysis of the asymptotic properties of a kernel estimator for a Seemingly Unrelated Regression Equations model with time-varying coefficients (tv-SURE) under very general conditions. Theoretical results together with a simulation study differentiates the cases for which the estimation of a tv-SURE outperforms the estimation of a Single Regression Equations model with time-varying coefficients (tv-SRE). The study shows that Zellner's results cannot be straightforwardly extended to the time-varying case. The tv-SURE is applied to the Fama and French five-factor model using data from four different international markets. Finally, we provide the estimation under cross-restriction and discuss a testing procedure. | en_US |
dc.format | application/pdf | en_US |
dc.language.iso | eng | en_US |
dc.rights | Reconocimiento-NoComercial-CompartirIgual 3.0 España | en_US |
dc.rights.uri | http://creativecommons.org/licenses/by-nc-sa/3.0/es/ | en_US |
dc.title | Time-varying coefficient estimation in SURE models. Application to portfolio management. | en_US |
dc.type | info:eu-repo/semantics/article | en_US |
dc.relation.projectID | info:eu-repo/grantAgreement/EC/FP7/657182 | en_US |
dc.rights.accessRights | info:eu-repo/semantics/openAccess | en_US |
dc.type.hasVersion | info:eu-repo/semantics/submittedVersion | en_US |