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Asymptotic theory for local time density estimation and nonparametric cointegrating regression

Wang, Qiying (contributor); … - 2006

Persistent link: https://www.econbiz.de/10003461553

Maximum likelihood and Gaussian estimation of continuous time models in finance

Phillips, Peter C. B. (contributor); Yu, Jun (contributor) - 2007

Persistent link: https://www.econbiz.de/10003462517

Gaussian inference in AR(1) time series with or without a unit root

Phillips, Peter C. B. (contributor); Han, Chirok (contributor) - 2006

Persistent link: https://www.econbiz.de/10003468431

Infinite density at the median and the typical shape of stock return distributions

Han, Chirok; Cho, Jin Seo; Phillips, Peter C. B. - 2009

Persistent link: https://www.econbiz.de/10003842069

Fully nonparametric estimation of scalar diffusion models

Bandi, Federico M.; Phillips, Peter C. B. - 2001

Persistent link: https://www.econbiz.de/10001618860

Structural change in tail behavior and the Asian financial crisis

Quintos, Carmela E.; Fan, Zhenhong; Phillips, Peter C. B. - 2000

Persistent link: https://www.econbiz.de/10001548868

Asymptotic Theory for Local Time Density Estimation and Nonparametric Cointegration Regression

Wang, Qiying - 2006

We provide a new asymptotic theory for local time density estimation for a general class of functionals of integrated … time series. This result provides a convenient basis for developing an asymptotic theory for nonparametric cointegrating … avoids Fourier integral representations and Markov process theory which have been used in earlier research on this type of …

Persistent link: https://www.econbiz.de/10012778972