In this paper a nonparametric variance ratio testing approach is proposed for determining the cointegration rank in … multiple cointegrating vectors. Since the test is nonparametric, it does not require the specification of a particular model … and integer-based parametric approaches, evidence in favor of the expectations hypothesis is found using the nonparametric …

We propose a nonparametric approach to the estimation and testing of structural change in time series regression models …. Under the null of a given set of the coefficients being constant, we develop estimators of both the nonparametric and …

replacing the latent process. Our estimation strategy is applicable to both parametric and nonparametric stochastic volatility …

A nonparametric kernel estimator of the drift (diffusion) term in a diffusion model are developed given a preliminary … the nonparametric estimators are established. We develop mis- specification tests of parametric diffusion models based on … the nonparametric estimators, and derive the asymptotic properties of the tests. We also propose a Markov Bootstrap method …

A kernel weighted version of the standard realised integrated volatility es- timator is proposed. By different choices … of the kernel and bandwidth, the measure allows us to focus on specific characteristics of the volatility process. In … volatility. We show con- sistency and asymptotic normality of the kernel smoothed realised volatility and the filtered spot …

This paper presents a family of simple nonparametric unit root tests indexed by one parameter, d, and containing … nonparametric test is relatively close to the parametric power envelope, particularly in the case with a linear timetrend …