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Testing for symmetries in multivariate inverse problems

Birke, Melanie; Bissantz, Nicolai - 2011

Persistent link: https://www.econbiz.de/10009155215

A consistent bootstrap procedure for nonparametric symmetry tests

Henderson, Daniel J.; Parmeter, Christopher F. - In: Economics letters 131 (2015), pp. 78-82

Persistent link: https://www.econbiz.de/10011422658

Testing conditional mean independence under symmetry

Chen, Tao; Ji, Yuanyuan; Zhou, Yahong; Zhu, Pingfang - In: Journal of business & economic statistics : JBES ; a … 36 (2018) 4, pp. 615-627

Persistent link: https://www.econbiz.de/10012249219

Nonparametric identification and estimation of sample selection models under symmetry

Chen, Songnian; Zhou, Yahong; Ji, Yuanyuan - In: Journal of econometrics 202 (2018) 2, pp. 148-160

Persistent link: https://www.econbiz.de/10011974558

Efficient estimation of copula-based semiparametric Markov models

Chen, Xiaohong; Wu, Wei Biao; Yi, Yanping - 2009

This paper considers efficient estimation of copula-based semiparametric strictly stationary Markov models. These … models are characterized by nonparametric invariant distributions and parametric copula functions; where the copulas capture … maximum likelihood estimation (MLE) for the copula parameter, the invariant distribution and the conditional quantiles. We …

Persistent link: https://www.econbiz.de/10010288444

Penalized exponential series estimation of copula densities with an application to intergenerational dependence of body mass index

Gao, Yichen; Zhang, Yu Yvette; Wu, Ximing - In: Empirical economics : a journal of the Institute for … 48 (2015) 1, pp. 61-81

Persistent link: https://www.econbiz.de/10011285954

Forecasting portfolio-Value-at-Risk with nonparametric lower tail dependence estimates

Siburg, Karl Friedrich; Stoimenov, Pavel; Weiß, Gregor - In: Journal of banking & finance 54 (2015), pp. 129-140

Persistent link: https://www.econbiz.de/10011377805

Conditional systemic risk with penalized copula

Okhrin, Ostap; Ristig, Alexander; Sheen, Jeffrey R.; … - 2015

, conditional quantiles are specified via hierarchical Archimedean copula. The parameters and structure of this copula are …

Persistent link: https://www.econbiz.de/10011309638

A multivariate linear rank test of independence based on a multiparametric copula with cubic sections

Mangold, Benedikt - 2015

This paper generalizes the locally optimal linear rank test based on copula from Shirahata (1974) resp. Guillén and …

Persistent link: https://www.econbiz.de/10011333620

Estimating dynamic copula dependence using intraday data

Grossmass, Lidan; Poon, Ser-Huang - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 19 (2015) 4, pp. 501-529

Persistent link: https://www.econbiz.de/10011339412