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Characteristic function-based testing for multifactor continuous-time Markov models via nonparametric regression

Chen, Bin; Hong, Yongmiao - In: Econometric theory 26 (2010) 4, pp. 1115-1179

Persistent link: https://www.econbiz.de/10003993831

Nonparametric specification testing for continuous-time models with application to spot interest rates

Hong, Yongmiao; Li, Haitao - 2002

We propose two nonparametric transition density-based speciÞcation tests for continuous-time diffusion models. In contrast to marginal density as used in the literature, transition density can capture the full dynamics of a diffusion process, and in particular, can distinguish processes with...

Persistent link: https://www.econbiz.de/10009621413

Testing for smooth structural changes in time series models via nonparametric regression

Chen, Bin; Hong, Yongmiao - In: Econometrica : journal of the Econometric Society, an … 80 (2012) 3, pp. 1157-1183

Persistent link: https://www.econbiz.de/10009629017

Asymptotic distribution theory for nonparametric entropy measures of serial dependence

Hong, Yongmiao; White, Halbert - In: Econometrica : journal of the Econometric Society, an … 73 (2005) 3, pp. 837-901

Persistent link: https://www.econbiz.de/10002876743

Nonparametric specification testing for continuous-time models with applications to term structure of interest rates

Hong, Yongmiao; Li, Haitao - In: The review of financial studies 18 (2005) 1, pp. 37-84

Persistent link: https://www.econbiz.de/10002646532

Nonparametric specification testing for continuous-time models with application to spot interest rates

Hong, Yongmiao; Li, Haitao - 2002

Persistent link: https://www.econbiz.de/10001684716

Nonparametric methods on continuous-time finance : a selective review

Cai, Zongwu (contributor); Hong, Yongmiao (contributor) - 2003 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10001919184

Solving Euler equations via two-stage nonparametric penalized splines

Cui, Liyuan; Hong, Yongmiao; Li, Yingxing - In: Journal of econometrics 222 (2021) 2, pp. 1024-1056

Persistent link: https://www.econbiz.de/10012619815

Some recent developments in nonparametric finance

Cai, Zongwu; Hong, Yongmiao - In: Nonparametric econometric methods, (pp. 379-442). 2010

Persistent link: https://www.econbiz.de/10010216418

Characteristic function based testing for conditional independence : a nonparametric regression approach

Wang, Xia; Hong, Yongmiao - In: Econometric theory 34 (2018) 4, pp. 815-849

Persistent link: https://www.econbiz.de/10011951432