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Nonparametric Detection and Estimation of Structural Change
Kristensen, Dennis - School of Economics and Management, University of Aarhus - 2011
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 parametric components. Given the estimators under null...
Persistent link: https://www.econbiz.de/10009003125
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Jump Tails, Extreme Dependencies, and the Distribution of Stock Returns
Bollerslev, Tim; Todorov, Viktor - School of Economics and Management, University of Aarhus - 2010
. The theory underlying our estimates are based on in-fill asymptotic arguments for directly identifying the systematic and … idiosyncratic jumps, together with conventional long-span asymptotics and Extreme Value Theory (EVT) approximations for consistently …
Persistent link: https://www.econbiz.de/10008677227
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Edgeworth expansion for functionals of continuous diffusion processes
Podolskij, Mark; Yoshida, Nakahiro - School of Economics and Management, University of Aarhus - 2013
This paper presents new results on the Edgeworth expansion for high frequency functionals of continuous diffusion processes. We derive asymptotic expansions for weighted functionals of the Brownian motion and apply them to provide the Edgeworth expansion for power variation of diffusion...
Persistent link: https://www.econbiz.de/10010851189
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Goodness-of-fit testing for fractional diffusions
Podolskij, Mark; Wasmuth, Katrin - School of Economics and Management, University of Aarhus - 2012
This paper presents a goodness-of-fit test for the volatility function of a SDE driven by a Gaussian process with stationary and centered increments. Under rather weak assumptions on the Gaussian process, we provide a procedure for testing whether the unknown volatility function lies in a given...
Persistent link: https://www.econbiz.de/10010851227
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A test for the rank of the volatility process: the random perturbation approach
Jacod, Jean; Podolskij, Mark - School of Economics and Management, University of Aarhus - 2012
semimartingale, which opens the way for rank testing. We develop the complete limit theory for the test statistic and apply it to …
Persistent link: https://www.econbiz.de/10010851228
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Are University Admissions Academically Fair?
Bhattacharya, Debopam; Kanaya, Shin; Stevens, Margaret - School of Economics and Management, University of Aarhus - 2014
High-profile universities often face public criticism for undermining academic merit and promoting social elitism through their admissions-process. In this paper, we develop an empirical test for whether access to selective universities is meritocratic. If so, then the academic potential of...
Persistent link: https://www.econbiz.de/10010851242
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Asymptotic theory for Brownian semi-stationary processes with application to turbulence
Corcuera, José Manuel; Hedevang, Emil; Pakkanen, Mikko S. - School of Economics and Management, University of Aarhus - 2012
the BSS model. We review the limit theory discussed in [Barndorff-Nielsen, O.E., J.M. Corcuera and M. Podolskij (2011 …. In "Prokhorov and Contemporary Probability Theory", Springer.] and present some new connections to fractional diffusion … region. Finally, we apply our statistical theory to turbulence data. …
Persistent link: https://www.econbiz.de/10010851246
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Limit theorems for non-degenerate U-statistics of continuous semimartingales
Podolskij, Mark; Schmidt, Christian; Ziegel, Johanna … - School of Economics and Management, University of Aarhus - 2012
This paper presents the asymptotic theory for non-degenerate U-statistics of high frequency observations of continuous …
Persistent link: https://www.econbiz.de/10010851284
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Uniform Consistency for Nonparametric Estimators in Null Recurrent Time Series
Gao, Jiti; Kanaya, Shin; Li, Degui; Tjøstheim, Dag - School of Economics and Management, University of Aarhus - 2013
This paper establishes uniform consistency results for nonparametric kernel density and regression estimators when time series regressors concerned are nonstationary null recurrent Markov chains. Under suitable regularity conditions, we derive uniform convergence rates of the estimators. Our...
Persistent link: https://www.econbiz.de/10010851296
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Tail Risk Premia and Return Predictability
Bollerslev, Tim; Todorov, Viktor; Xu, Lai - School of Economics and Management, University of Aarhus - 2014
The variance risk premium, defined as the difference between actual and risk-neutralized expectations of the forward aggregate market variation, helps predict future market returns. Relying on new essentially model-free estimation procedure, we show that much of this predictability may be...
Persistent link: https://www.econbiz.de/10011096183