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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 …
Persistent link: https://www.econbiz.de/10009003125
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Semi-Nonparametric Estimation and Misspecification Testing of Diffusion Models
Kristensen, Dennis - School of Economics and Management, University of Aarhus - 2010
Novel transition-based misspeci?cation tests of semiparametric and fully parametric univariate diffusion models based on the estimators developed in Kristensen (Journal of Econometrics, 2010) are proposed. It is demonstrated that transition-based tests in general lack power in detecting local...
Persistent link: https://www.econbiz.de/10008462024
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Estimation of Stochastic Volatility Models by Nonparametric Filtering
Kanaya, Shin; Kristensen, Dennis - School of Economics and Management, University of Aarhus - 2010
replacing the latent process. Our estimation strategy is applicable to both parametric and nonparametric stochastic volatility …
Persistent link: https://www.econbiz.de/10008677955
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Nonparametric Estimation and Misspecification Testing of Diffusion Models
Kristensen, Dennis - School of Economics and Management, University of Aarhus - 2007
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 …
Persistent link: https://www.econbiz.de/10005787561
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Nonparametric Filtering of the Realised Spot Volatility: A Kernel-based Approach
Kristensen, Dennis - School of Economics and Management, University of Aarhus - 2007
of the kernel and bandwidth, the measure allows us to focus on specific characteristics of the volatility process. In … particular, as the bandwidth vanishes, an estimator of the realised spot volatility is obtained. We denote this the filtered spot … volatility. The choice of bandwidth is discussed and data- driven selection methods proposed. A simulation study examines the …
Persistent link: https://www.econbiz.de/10005198857
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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
In this paper we present a test for the maximal rank of the matrix-valued volatility process in the continuous Itô semimartingale framework. Our idea is based upon a random perturbation of the original high frequency observations of an Itô semimartingale, which opens the way for rank testing....
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
This paper presents some asymptotic results for statistics of Brownian semi-stationary (BSS) processes. More precisely, we consider power variations of BSS processes, which are based on high frequency (possibly higher order) differences of the BSS model. We review the limit theory discussed in...
Persistent link: https://www.econbiz.de/10010851246