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A Bayesian approach to bandwidth selection for multivariate kernel regression with an application to stateprice density estimation

Zhang, Xibin (contributor); Brooks, Robert (contributor); … - 2007

Persistent link: https://www.econbiz.de/10003778318

Multivariate tests of asset pricing : simulation evidence from an emerging market

Iqbal, Javed (contributor); Brooks, Robert (contributor); … - 2008

The finite sample performance of the Wald, Generalized Method of Moment (GMM) and Likelihood Ratio (LR) tests of multivariate asset pricing tests have been investigated in several studies on the US financial markets. This article extends this analysis in two important ways. Firstly, considering...

Persistent link: https://www.econbiz.de/10003778328

A survey of functional principal component analysis

Shang, Han Lin - 2011

Persistent link: https://www.econbiz.de/10009009531

A new procedure for multiple testing of econometric models

King, Maxwell L.; Zhang, Xibin; Akram, Muhammad - 2011

through a combination of bootstrapping to obtain a multivariate kernel density estimator of the joint density of the test … calculating the overall p value for a vector of test statistics based on simulation. Bootstrapping, consistency, information …