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Asymptotically distribution-free goodness-of-fit testing for tail copulas
Can, Sami Umut; Einmahl, John H. J.; Khmaladze, Estate V.; … - 2014
Persistent link: https://www.econbiz.de/10011283328
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Fitting a two phase threshold multiplicative error model
Perera, Indeewara; Koul, Hira L. - In: Journal of econometrics 197 (2017) 2, pp. 348-367
Persistent link: https://www.econbiz.de/10011818363
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A simple out-of-sample test for the martingale difference hypothesis
Pincheira, Pablo - 2013
Persistent link: https://www.econbiz.de/10009783323
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Asymptotically Distribution-Free Goodness-of-Fit Testing for Tail Copulas
Can, Sami - 2014
Let (X1, Y1), … , (Xn, Yn) be an i.i.d. sample from a bivariate distribution function that lies in the max-domain of attraction of an extreme value distribution. The asymptotic joint distribution of the standardized component-wise maxima max( Xi) and max(Yi) is then characterized by the...
Persistent link: https://www.econbiz.de/10013051730
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Two-sample testing for tail copulas with an application to equity indices
Can, Sami Umut; Einmahl, John H. J.; Laeven, Roger J. A. - In: Journal of business & economic statistics : JBES ; a … 42 (2024) 1, pp. 147-159
Persistent link: https://www.econbiz.de/10014449844
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Two-sample testing for tail copulas with an application to equity indices
Can, Sami Umut; Einmahl, John H. J.; Laeven, Roger J. A. - 2021
Persistent link: https://www.econbiz.de/10012586114
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Inference for local distributions at high sampling frequencies : a bootstrap approach
Hounyo, Ulrich; Varneskov, Rasmus Tangsgaard - In: Journal of econometrics 215 (2020) 1, pp. 1-34
Persistent link: https://www.econbiz.de/10012439150
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A Simple Out-of-Sample Test for the Martingale Difference Hypothesis
Pincheira, Pablo M. - 2013
over the Excess Profitability (EP) test (proposed by Anatolyev and Gerco) when testing the Martingale Difference Hypothesis …
Persistent link: https://www.econbiz.de/10013079363
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Specification tests for the distribution of errors in nonoarametric regression : a martingale approach
Mora, Juan; Pérez-Alonso, Alicia - 2008
Persistent link: https://www.econbiz.de/10003871481
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Exact Bayesian moment based inference for the distribution of the small-time movements of an Itô semimartingale
Gallant, A. Ronald; Tauchen, George Eugene - In: Journal of econometrics 205 (2018) 1, pp. 140-155
Persistent link: https://www.econbiz.de/10012110246