This study constructs a panel threshold regression model to explore the price impact of foreign institutional herding of firms listed in the Taiwan Stock Exchange during January 2000 to June 2008. Our panel threshold model is constructed to explore the price impact of foreign institutional investors’ herding in the Taiwan stock market after controlling the firm size. By examining the presence o...

Consider a detector which records the times at which the realizations of a nonparametric regression model exceed a certain threshold. If the error distribution is known, the regression function can still be identified from these threshold data. We construct estimators for the regression function. They are transformations of kernel estimators. We determine the bandwidth which minimizes the asymp...

This publication is based upon work supported by King Abdullah University of Science and Technology (KAUST), Officeof Sponsored Research (OSR) under Award No. OSR-2019-CRG7-3800; the IR/D program grant DMS-1712760from National Foundation. Any opinion, findings, conclusions or recommendations expressed in thismaterial are those authors do not necessarily reflect views The authorsthank Dr. Howard...