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  • Search: subject:"martingale transformation"
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Year of publication
Subject
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Martingale transformation 8 Martingal 5 Martingale 5 Statistical test 5 Statistischer Test 5 Bootstrap approach 4 Bootstrap-Verfahren 4 Multivariate Verteilung 4 Multivariate distribution 4 Theorie 4 Theory 4 Statistical distribution 3 Statistische Verteilung 3 martingale transformation 3 ARCH model 2 ARCH-Modell 2 Aktienindex 2 Boundary crossing probability 2 Börsenkurs 2 Capital income 2 Diffusion model 2 Distribution-free tests 2 Estimated parameters 2 Estimation 2 Estimation theory 2 Extreme value theory 2 Financial crisis 2 Finanzkrise 2 Gauss-Markov process 2 Gaussian process 2 Goodness of fit test 2 Interest rate volatility 2 Kapitaleinkommen 2 Monte Carlo simulations 2 Schätztheorie 2 Schätzung 2 Share price 2 Stock index 2 Tail dependence 2 Time series analysis 2
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Online availability
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Free 6 Undetermined 4
Type of publication
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Article 6 Book / Working Paper 5
Type of publication (narrower categories)
All
Article in journal 4 Aufsatz in Zeitschrift 4 Working Paper 3 Arbeitspapier 2 Graue Literatur 2 Non-commercial literature 2
Language
All
English 7 Undetermined 4
Author
All
Can, Sami Umut 3 Einmahl, John H. J. 3 Laeven, Roger J. A. 3 Zheng, Xu 3 Chen, Qiang 2 Pan, Zhiyuan 2 Parker, Thomas 2 Can, S.U. 1 Chung, EunYi 1 Einmahl, John 1 He, Hui 1 Khmaladze, E.V. 1 Khmaladze, Estate V. 1 Laeven, R.J.A. 1 Lu, Xiaohui 1 Luan, Nana 1 Olivares, Mauricio 1
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Institution
All
Tilburg University, Center for Economic Research 1 Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München 1
Published in...
All
Journal of econometrics 3 Discussion paper / Center for Economic Research, Tilburg University 2 Discussion Paper / Tilburg University, Center for Economic Research 1 Journal of Econometrics 1 Journal of business & economic statistics : JBES ; a publication of the American Statistical Association 1 MPRA Paper 1 Statistics & Probability Letters 1 cemmap working paper 1
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Source
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ECONIS (ZBW) 6 RePEc 4 EconStor 1
Showing 1 - 10 of 11
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Two-sample testing for tail copulas with an application to equity indices
Can, Sami Umut; Einmahl, John H. J.; Laeven, Roger J. A. - In: Journal of business & economic statistics : JBES ; a … 42 (2024) 1, pp. 147-159
Persistent link: https://www.econbiz.de/10014449844
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Two-sample testing for tail copulas with an application to equity indices
Can, Sami Umut; Einmahl, John H. J.; Laeven, Roger J. A. - 2021
Persistent link: https://www.econbiz.de/10012586114
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Permutation test for heterogeneous treatment effects with a nuisance parameter
Chung, EunYi; Olivares, Mauricio - In: Journal of econometrics 225 (2021) 2, pp. 148-174
Persistent link: https://www.econbiz.de/10013275430
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A goodness-of-fit test for copulas based on martingale transformation
Lu, Xiaohui; Zheng, Xu - In: Journal of econometrics 215 (2020) 1, pp. 84-117
Persistent link: https://www.econbiz.de/10012439384
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Asymptotically Distribution-Free Goodness-of-Fit Testing for Tail Copulas
Einmahl, John; Can, S.U.; Khmaladze, E.V.; Laeven, R.J.A. - Tilburg University, Center for Economic Research - 2014
Let (X1, Y1),…., (Xn, Yn) be an i.i.d. sample from a bivariate distribution function that lies in the max-domain of attraction of<br/>an extreme value distribution. The asymptotic joint distribution of the standardized component-wise maxima<br/>√n i=1 Xi and √n i=1 Yi is then characterized by the...
Persistent link: https://www.econbiz.de/10011144457
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Asymptotically distribution-free goodness-of-fit testing for tail copulas
Can, Sami Umut; Einmahl, John H. J.; Khmaladze, Estate V.; … - 2014
Persistent link: https://www.econbiz.de/10011283328
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A comparison of alternative approaches to sup-norm goodness of fit tests with estimated parameters
Parker, Thomas - 2010
Goodness of fit tests based on sup-norm statistics of empirical processes have nonstandard limiting distributions when the null hypothesis is composite-that is, when parameters of the null model are estimated. Several solutions to this problem have been suggested, including the calculation of...
Persistent link: https://www.econbiz.de/10010288372
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A comparison of alternative approaches to sup-norm goodness of git gests with estimated parameters
Parker, Thomas - Volkswirtschaftliche Fakultät, … - 2010
Goodness of fit tests based on sup-norm statistics of empirical processes have nonstandard limit- ing distributions when the null hypothesis is composite — that is, when parameters of the null model are estimated. Several solutions to this problem have been suggested, including the calculation...
Persistent link: https://www.econbiz.de/10008498467
Saved in:
Cover Image
Asymptotically distribution-free tests for the volatility function of a diffusion
Chen, Qiang; Zheng, Xu; Pan, Zhiyuan - In: Journal of Econometrics 184 (2015) 1, pp. 124-144
martingale transformation. The tests impose no restrictions on the functional form of the drift function and are shown to be …
Persistent link: https://www.econbiz.de/10011077605
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Asymptotically distribution-free tests for the volatility function of a diffusion
Chen, Qiang; Zheng, Xu; Pan, Zhiyuan - In: Journal of econometrics 184 (2015) 1, pp. 124-144
Persistent link: https://www.econbiz.de/10011326801
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