Similar Search Results

Estimation and testing for varying coefficients in additive models with marginal integration

Yang, Lijian; Härdle, Wolfgang; Park, Byeong U. - 2002

We propose marginal integration estimation and testing methods for the coefficients of varying coefficient multivariate … regression model. Asymptotic distribution theory is developed for the estimation method which enjoys the same rate of convergence … as univariate function estimation. For the test statistic, asymptotic normal theory is established. These theoretical …

Persistent link: https://www.econbiz.de/10009627286

Semiparametric bootstrap approach to hypothesis tests and confidence intervals for the hurst coefficient

Hall, Peter; Härdle, Wolfgang; Kleinow, Torsten; … - 1999

the price of a commodity, currency or similar quantity. Interval estimation and hypothesis testing for H are central to …

Persistent link: https://www.econbiz.de/10009581110

Backtesting beyond VaR

Härdle, Wolfgang; Stahl, Gerhard - 1999

VaR models are related to statistical forecast systems. Within that framework different forecast tasks including Value-at-Risk and shortfall are discussed and motivated. A backtesting method based on the shortfall is developed and applied to VaR forecasts of areal portfolio. The analysis shows...

Persistent link: https://www.econbiz.de/10009582401

An empirical likelihood goodness-of-fit test for time series

Chen, Song Xi; Härdle, Wolfgang; Kleinow, Torsten - 2000

-in estimation. We apply the empirical likelihood based test to a discretised diffusion model which has been recently considered in …

Persistent link: https://www.econbiz.de/10009612573

Flexible stochastic volatility structures for high frequency financial data

Feldmann, David; Härdle, Wolfgang; Hafner, Christian M.; … - 1998

Stochastic Volatility (SV) models are widely used in financial applications. To decide whether standard parametric restrictions are justified for a given dataset, a statistical test is required. In this paper, we develop such a test based on the linear state space representation. We provide a...

Persistent link: https://www.econbiz.de/10009578026

Semiparametric diffusion estimation and application to a stock market index

Härdle, Wolfgang; Kleinow, Torsten; Korostelev, … - 2001

The analysis of diffusion processes in financial models is crucially dependent on the form of the drift and diffusion coefficient functions. A methodology is proposed for estimating and testing coefficient functions for ergodic diffusions that are not directly observable. It is based on...

Persistent link: https://www.econbiz.de/10009613611