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A new class of change point test statistics of Rényi type
Horváth, Lajos; Miller, Curtis; Rice, Gregory - In: Journal of business & economic statistics : JBES ; a … 38 (2020) 3, pp. 570-579
Persistent link: https://www.econbiz.de/10012262495
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A non-Gaussian panel time series model for estimating and decomposing default risk
Koopman, Siem Jan; Lucas, André - In: Journal of business & economic statistics : JBES ; a … 26 (2008) 4, pp. 510-525
Persistent link: https://www.econbiz.de/10003772293
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Testing for stochastic dominance efficiency
Scaillet, Olivier; Topaloglou, Nikolas - In: Journal of business & economic statistics : JBES ; a … 28 (2010) 1, pp. 169-180
Persistent link: https://www.econbiz.de/10003992828
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Derivative pricing with wishart multivariate stochastic volatility
Gouriéroux, Christian; Sufana, Razvan - In: Journal of business & economic statistics : JBES ; a … 28 (2010) 3, pp. 438-451
Persistent link: https://www.econbiz.de/10008736163
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True or spurious long memory? : a new test
Ohanissian, Arek; Russell, Jeffrey R.; Tsay, Ruey S. - In: Journal of business & economic statistics : JBES ; a … 26 (2008) 2, pp. 161-175
Persistent link: https://www.econbiz.de/10003675667
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Testing the continuous semimartingale hypothesis for the S&P 500
Peters, Remco T.; Vilder, Robin G. de - In: Journal of business & economic statistics : JBES ; a … 24 (2006) 4, pp. 444-454
Persistent link: https://www.econbiz.de/10003385164
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Simulation methods for Lévy-driven continuous-time autoregressive moving average (CARMA) stochastic volatility models
Todorov, Viktor; Tauchen, George Eugene - In: Journal of business & economic statistics : JBES ; a … 24 (2006) 4, pp. 455-469
Persistent link: https://www.econbiz.de/10003385169
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Tests for the second order stochastic dominance based on L-statistics
Berrendero, José R.; Cárcamo, Javier - In: Journal of business & economic statistics : JBES ; a … 29 (2011) 2, pp. 260-270
Persistent link: https://www.econbiz.de/10009159997
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Empirical analysis of affine versus nonaffine variance specifications in jump-diffusion models for equity indices
Ignatieva, Ekaterina; Rodrigues, Paulo Jorge Maurício; … - In: Journal of business & economic statistics : JBES ; a … 33 (2015) 1, pp. 68-75
Persistent link: https://www.econbiz.de/10011389699
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Flexible modeling of dependence in volatility processes
Kalli, Maria; Griffin, Jim - In: Journal of business & economic statistics : JBES ; a … 33 (2015) 1, pp. 102-113
Persistent link: https://www.econbiz.de/10011389911