Introduces semiparametric ARCH-m(X) model with nonparametric m for covariate effects on volatility, plus normal-limit hypothesis tests and consistent FDR-based variable selection.
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Nonparametric Testing and Variable Selection for ARCH-m(X) Model
Introduces semiparametric ARCH-m(X) model with nonparametric m for covariate effects on volatility, plus normal-limit hypothesis tests and consistent FDR-based variable selection.