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Edgeworth expansion for functionals of continuous diffusion processes
Podolskij, Mark; Yoshida, Nakahiro - School of Economics and Management, University of Aarhus - 2013
This paper presents new results on the Edgeworth expansion for high frequency functionals of continuous diffusion processes. We derive asymptotic expansions for weighted functionals of the Brownian motion and apply them to provide the Edgeworth expansion for power variation of diffusion...
Persistent link: https://www.econbiz.de/10010851189
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Goodness-of-fit testing for fractional diffusions
Podolskij, Mark; Wasmuth, Katrin - School of Economics and Management, University of Aarhus - 2012
This paper presents a goodness-of-fit test for the volatility function of a SDE driven by a Gaussian process with stationary and centered increments. Under rather weak assumptions on the Gaussian process, we provide a procedure for testing whether the unknown volatility function lies in a given...
Persistent link: https://www.econbiz.de/10010851227
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A test for the rank of the volatility process: the random perturbation approach
Jacod, Jean; Podolskij, Mark - School of Economics and Management, University of Aarhus - 2012
semimartingale, which opens the way for rank testing. We develop the complete limit theory for the test statistic and apply it to …
Persistent link: https://www.econbiz.de/10010851228
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Are University Admissions Academically Fair?
Bhattacharya, Debopam; Kanaya, Shin; Stevens, Margaret - School of Economics and Management, University of Aarhus - 2014
High-profile universities often face public criticism for undermining academic merit and promoting social elitism through their admissions-process. In this paper, we develop an empirical test for whether access to selective universities is meritocratic. If so, then the academic potential of...
Persistent link: https://www.econbiz.de/10010851242
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Asymptotic theory for Brownian semi-stationary processes with application to turbulence
Corcuera, José Manuel; Hedevang, Emil; Pakkanen, Mikko S. - School of Economics and Management, University of Aarhus - 2012
the BSS model. We review the limit theory discussed in [Barndorff-Nielsen, O.E., J.M. Corcuera and M. Podolskij (2011 …. In "Prokhorov and Contemporary Probability Theory", Springer.] and present some new connections to fractional diffusion … region. Finally, we apply our statistical theory to turbulence data. …
Persistent link: https://www.econbiz.de/10010851246
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Limit theorems for non-degenerate U-statistics of continuous semimartingales
Podolskij, Mark; Schmidt, Christian; Ziegel, Johanna … - School of Economics and Management, University of Aarhus - 2012
This paper presents the asymptotic theory for non-degenerate U-statistics of high frequency observations of continuous …
Persistent link: https://www.econbiz.de/10010851284
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Uniform Consistency for Nonparametric Estimators in Null Recurrent Time Series
Gao, Jiti; Kanaya, Shin; Li, Degui; Tjøstheim, Dag - School of Economics and Management, University of Aarhus - 2013
This paper establishes uniform consistency results for nonparametric kernel density and regression estimators when time series regressors concerned are nonstationary null recurrent Markov chains. Under suitable regularity conditions, we derive uniform convergence rates of the estimators. Our...
Persistent link: https://www.econbiz.de/10010851296
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Econometrics on GPUs
Creel, Michael; Mandal, Sonik; Zubair, Mohammad - Barcelona Graduate School of Economics (Barcelona GSE) - 2012
A graphical processing unit (GPU) is a hardware device normally used to manipulate computer memory for the display of images. GPU computing is the practice of using a GPU device for scientific or general purpose computations that are not necessarily related to the display of images. Many...
Persistent link: https://www.econbiz.de/10010851500
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Macroeconomic News Effects on the Stock Markets in Intraday Data
Będowska-Sójka, Barbara - In: Central European Journal of Economic Modelling and … 5 (2013) 4, pp. 249-269
The aim of the paper is to compare reactions of two stock markets, the German and the French, to releases of macroeconomic fundamentals emanating from Germany and the U.S. We examine the reaction of intraday returns and volatility of the CAC40 and the DAX indices to macroeconomic surprises. We...
Persistent link: https://www.econbiz.de/10010875631
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Returns to Lying? Identifying the Effects of Misreporting When the Truth Is Unobserved
Hu, Yingyao; Lewbel, Arthur - In: Frontiers of Economics in China 7 (2012) 2, pp. 163-192
Consider an observed binary regressor D and an unobserved binary variable D*, both of which affect some other variable Y . This paper considers nonparametric identification and estimation of the effect of D on Y , conditioning on D* = 0. For example, suppose Y is a person¡¯s wage, the...
Persistent link: https://www.econbiz.de/10010888586