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A nonparametric test of a strong leverage hypothesis

Linton, Oliver; Whang, Yoon-jae; Yen, Yu-min - In: Journal of econometrics 194 (2016) 1, pp. 153-186

Persistent link: https://www.econbiz.de/10011705075

Lee, Sokbae; Linton, Oliver; Whang, Yoon-jae - In: Econometrica : journal of the Econometric Society, an … 77 (2009) 2, pp. 585-602

Persistent link: https://www.econbiz.de/10003841300

A nonparametric test of a strong leverage hypothesis

Linton, Oliver; Whang, Yoon-jae; Yen, Yu-min - 2013

The so-called leverage hypothesis is that negative shocks to prices/ returns affect volatility more than equal positive … a general parametric or semiparametric model to conditional volatility and then testing the implied restrictions on … parameters or curves. We propose an alternative way of testing this hypothesis using realised volatility as an alternative direct …

Persistent link: https://www.econbiz.de/10009759803

Nonparametric estimation of multivariate elliptic densities via finite mixture sieves

Battey, Heather; Linton, Oliver - 2013

This paper considers the class of p-dimensional elliptic distributions (p = 1) satisfying the consistency property (Kano, 1994) and within this general framework presents a two-stage semiparametric estimator for the Lebesgue density based on Gaussian mixture sieves. Under the online...

Persistent link: https://www.econbiz.de/10009734314

Testing for stochastic monotonicity

Lee, Sokbae (contributor); Linton, Oliver (contributor); … - 2008

We propose a test of the hypothesis of stochastic monotonicity. This hypothesis is of interest in many applications in economics. Our test is based on the supremum of a rescaled U-statistic. We show that its asymptotic distribution is Gumbel. The proof is difficult because the approximating...

Persistent link: https://www.econbiz.de/10003739710

Testing for stochastic monotonicity

Lee, Sokbae (contributor); Linton, Oliver (contributor); … - 2006

Persistent link: https://www.econbiz.de/10003360105

A nonparametric test of the leverage hypothesis

Linton, Oliver; Whang, Yoon-jae; Yen, Yu-min - 2012

The so-called leverage hypothesis is that negative shocks to prices/returns affect volatility more than equal positive … general parametric or semiparametric model to conditional volatility and then testing the implied restrictions on parameters … or curves. We propose an alternative way of testing this hypothesis using realized volatility as an alternative direct …

Persistent link: https://www.econbiz.de/10009615540