Multivariate nonlinear regression with non-stationary time series, project by Assoc. Prof. Qiying Wang

The core aim of this project is to investigate estimation and inference theory in multivariate nonlinear regression with non-stationary time series. Using new theoretical results, this project will explore the real links among various economic and financial variables such as money demand, interests, untraded spot prices (DJIA index, S&P 500 index, etc.), traded ETFs,  traded Volatility index (VIX) and other derivatives.