1. What have the authors contributed in "Optimal bandwidth selection for conditional efficiency measures: a data-driven approach" ?
In this paper the authors fill this gap and they propose a data-driven technique for selecting this parameter in practice.. The approach, based on a Least Squares Cross Validation procedure ( LSCV ), provides an optimal bandwidth that minimizes an appropriate ( weighted ) integrated Squared Error ( ISE ).. An application on real data ( performances of Mutual Funds ) illustrates how this new optimal method of bandwidth selection works in practice.
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2. What have the authors stated for future works in "Optimal bandwidth selection for conditional efficiency measures: a data-driven approach" ?
As shown in their illustration with real data, a relevant direction for future research would be to develop tools for testing if some factors are significantly influential or not.
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