Narrow search
Showing 1 - 10 of 1,022
Cover Image
How to implement the bootstrap in static or stable dynamic regression models
Giersbergen, Noud P. A. van; Kiviet, J. F. - 2001
By combining two alternative formulations of a test statistic with two alternative resamplingschemes we obtain four different bootstrap tests. In the context of static linear regression modelstwo of these are shown to have serious size and power problems, whereas the remaining two areadequate...
Persistent link: https://www.econbiz.de/10011325661
Cover Image
Spot variance path estimation and its application to high frequency jump testing
Bos, Charles S.; Janus, Paweł; Koopman, Siem Jan - 2009
This paper considers spot variance path estimation from datasets of intraday high frequency asset prices in the … microstructure noise has an adverse effect on both spot variance estimation and jump detection. In our approach we can analyze high …
Persistent link: https://www.econbiz.de/10011379469
Cover Image
Fractional integration and fat tails for realized covariance kernels and returns
Lucas, André; Opschoor, Anne - 2016 - This version: September 1, 2016
We introduce a new fractionally integrated model for covariance matrix dynamics based on the long-memory behavior of daily realized covariance matrix kernels and daily return observations. We account for fat tails in both types of data by appropriate distributional assumptions. The covariance...
Persistent link: https://www.econbiz.de/10011531139
Cover Image
Tests for serial independence and linearity based on correlation integrals
Diks, Cees G. H.; Manzan, Sebastiano - 2001
We propose information theoretic tests for serial independence and linearity in time series. The test statisticsare based on the conditional mutual information, a general measure of dependence between lagged variables. In caseof rejecting the null hypothesis, this readily provides insights into...
Persistent link: https://www.econbiz.de/10011317443
Cover Image
Computationally attractive stability tests for the efficient method of moments
Sluis, Pieter J. van der - 1997
Persistent link: https://www.econbiz.de/10000968763
Cover Image
How to implement the bootstrap in static or stable dynamic regression models : test statistic versus confidence region approach
Giersbergen, Noud P. A. van; Kiviet, J. F. - 2001
Persistent link: https://www.econbiz.de/10001630176
Cover Image
Kernel-smoothed conditional quantiles of correlated bivariate discrete data
Gooijer, Jan G. de; Yuan, Ao - 2011
from this basic requirement by presenting an algorithm for nonparametric estimation of conditional quantiles when both the … results show excellent estimation accuracy in terms of bias, mean squared error, and confidence interval coverage. Typically …)conditional quantile kernel estimation of multivariate data. With this in mind, we illustrate the proposed methodology with an application …
Persistent link: https://www.econbiz.de/10011382707
Cover Image
Robust inference for non-Gaussian SVAR models
Hoesch, Lukas; Lee, Adam; Mesters, Geert - 2022
identification robust methods to assess estimation uncertainty when using non-Gaussianity for identification. …
Persistent link: https://www.econbiz.de/10013417421
Cover Image
Computationally attractive stability tests for the efficient method of moments
Sluis, Pieter J. van der - 1997
Estimation using simulation techniques may be very time consuming. Specification tests for structuralstability often …
Persistent link: https://www.econbiz.de/10010339446
Cover Image
Testing for stock market contagion : a quantile regression approach
Park, Sungyong; Wang, Wendun; Huang, Naijing - 2015 - This version: March 25, 2015
Regarding the asymmetric and leptokurtic behavior of financial data, we propose a new contagion test in the quantile regression framework that is robust to model misspecification. Unlike conventional correlation-based tests, the proposed quantile contagion test allows us to investigate the stock...
Persistent link: https://www.econbiz.de/10010504111