Similar Search Results - EconBiz

Testing for constant correlation of filtered series under structural change

Demetrescu, Matei; Wied, Dominik - In: The econometrics journal 22 (2019) 1, pp. 10-33

Persistent link: https://www.econbiz.de/10012166648

Testing for relevant dependence change in financial data : a CUSUM copula approach

Kutzker, Tim; Stark, Florian; Wied, Dominik - In: Empirical economics : a quarterly journal of the … 60 (2021) 4, pp. 1875-1894

Persistent link: https://www.econbiz.de/10012490683

New backtests for unconditional coverage of expected shortfall

Löser, Robert; Wied, Dominik; Ziggel, Daniel - In: Journal of risk 21 (2018/2019) 4, pp. 39-59

Persistent link: https://www.econbiz.de/10012059868

Misspecification testing in a class of conditional distributional models

Rothe, Christoph; Wied, Dominik - 2012

We propose a specification test for a wide range of parametric models for the conditional distribution function of an outcome variable given a vector of covariates. The test is based on the Cramer-von Mises distance between an unrestricted estimate of the joint distribution function of the data,...

Persistent link: https://www.econbiz.de/10010282420

Misspecification Testing in a Class of Conditional Distributional Models

Rothe, Christoph; Wied, Dominik - Institute for the Study of Labor (IZA) - 2012

We propose a specification test for a wide range of parametric models for the conditional distribution function of an outcome variable given a vector of covariates. The test is based on the Cramer-von Mises distance between an unrestricted estimate of the joint distribution function of the data,...

Persistent link: https://www.econbiz.de/10009650610

A new online-test for changes in correlations between assets

Arnold, Matthias; Bissantz, Nicolai; Wied, Dominik; … - 2010

Persistent link: https://www.econbiz.de/10008839855

Multiple break detection in the correlation structure of financial returns

Galeano, Pedro; Wied, Dominik - 2011

Persistent link: https://www.econbiz.de/10009379510

CUSUM-Type testing for changing parameters in a spatial autoregressive model of stock returns

Wied, Dominik - 2011

Persistent link: https://www.econbiz.de/10009379646

A fluctuation test for constant Spearman’s rho

Wied, Dominik; Dehling, Herold; Kampen, Maarten van; … - 2011

Persistent link: https://www.econbiz.de/10009155239

Testing for a change in correlation at an unknown point in time using an extended functional delta method

Wied, Dominik; Krämer, Walter; Dehling, Herold - In: Econometric theory 28 (2012) 3, pp. 570-589

Persistent link: https://www.econbiz.de/10009545827

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