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Asymptotically distribution-free goodness-of-fit testing : a unifying view
Li, Bo - In: Econometric reviews 28 (2009) 6, pp. 632-657
Persistent link: https://www.econbiz.de/10003881210
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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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An out-of-sample, nonparametric test of the Martingale difference hypothesis
McCracken, Michael W. - In: Applying Kernel and nonparametric estimation to …, (pp. 49-75). 2000
Persistent link: https://www.econbiz.de/10001548462
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Asymptotically Distribution-Free Goodness-of-Fit Testing for Copulas
Can, Sami - 2017
Consider a random sample from a continuous multivariate distribution function F with copula C. In order to test the null hypothesis that C belongs to a certain parametric family, we construct an under H0 asymptotically distribution-free process that serves as a tests generator. The process is a...
Persistent link: https://www.econbiz.de/10012941154
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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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Uniform nonparametric series inference for dependent data with an application to the search and matching model
Li, Jia; Liao, Zhipeng - 2018
size. The strong approximation is first proved for heterogeneous martingale difference arrays and then extended to general … mixingales via martingale approximation, readily accommodating a majority of applications in applied econometrics. We use these …
Persistent link: https://www.econbiz.de/10012117544
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Is the KOSPI 200 options market efficient? : parametric and nonparametric tests of the Martingale restriction
Guo, Biao; Han, Qian; Ryu, Doojin - In: The journal of futures markets 33 (2013) 7, pp. 629-652
Persistent link: https://www.econbiz.de/10009756544
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Time-varying jump tails
Bollerslev, Tim; Todorov, Viktor - In: Journal of econometrics 183 (2014) 2, pp. 168-180
Persistent link: https://www.econbiz.de/10010506069
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No-arbitrage option pricing : new evidence on the validity of the martingale property
Brenner, Menachem; Eom, Young Ho - 1997
Persistent link: https://www.econbiz.de/10001442896
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Is the KOSPI 200 Options Market Efficient? A Nonparametric Tests of the Martingale Restriction
Han, Qian - 2012
this market because either the martingale restriction defined in Longstaff (1995) cannot be rejected by the data, or, even … singles out the effect of market inefficiency from market friction by testing the martingale restriction for the KOSPI200 … problem, we empirically present clear evidence of a violation of the martingale restriction. In addition, in contrast to the S …
Persistent link: https://www.econbiz.de/10013108919