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Modeling autoregressive conditional skewness and kurtosis with multi-quantile CAViaR

White, Halbert; Kim, Tae-Hwan; Manganelli, Simone - 2008

new methods to estimate measures of conditional skewness and kurtosis defined in terms of conditional quantiles, analogous … to the unconditional quantile-based measures of skewness and kurtosis studied by Kim and White (2004). We investigate the … performance of our methods by simulation, and we apply MQ-CAViaR to study conditional skewness and kurtosis of S&P 500 daily …

Persistent link: https://www.econbiz.de/10011605003

A warp-speed method for conducting Monte Carlo experiments involving bootstrap estimators

Giacomini, Raffaella; Politis, Dimitris N.; White, Halbert - 2012

Persistent link: https://www.econbiz.de/10009554396

Testing identifying assumptions in fuzzy regression discontinuity designs

Arai, Yoichi; Hsu, Yuchin; Kitagawa, Toru; Mourifié, Ismael - 2019

We propose a new specification test for assessing the validity of fuzzy regression discontinuity designs (FRD-validity). We derive a new set of testable implications, characterized by a set of inequality restrictions on the joint distribution of observed outcomes and treatment status at the...

Persistent link: https://www.econbiz.de/10011988234

Testing identifying assumptions in fuzzy regression discontinuity designs

Arai, Yoichi; Hsu, Yu-Chin; Kitagawa, Toru; Mourifié, … - 2021

Persistent link: https://www.econbiz.de/10012489858

Forecast evaluation with shared data sets

Sullivan, Ryan - 2001

Persistent link: https://www.econbiz.de/10013423660

Testing identifying assumptions in fuzzy regression discontinuity designs

Arai, Yoichi; Hsu, Yu-Chin; Kitagawa, Toru; Mourifié, … - 2018

Persistent link: https://www.econbiz.de/10011895092