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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 …–Pissarides search and matching model for equilibrium unemployment, and shed new light on the unemployment volatility puzzle from an …
Persistent link: https://www.econbiz.de/10012117544
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Identification and statistical inference using matched March CPS data, with an application to US poverty dynamics
Feng, Shuaizhang - In: Journal of economic and social measurement 38 (2013) 2, pp. 159-170
Persistent link: https://www.econbiz.de/10010222367
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Nonparametric estimation of state-price densities implicit in interest rate cap prices
Li, Haitao; Zhao, Feng - In: The review of financial studies 22 (2009) 11, pp. 4335-4376
Persistent link: https://www.econbiz.de/10003896303
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Testing the martingale difference hypothesis using neural network approximations
Kapetanios, George (contributor);  … - 2007
Persistent link: https://www.econbiz.de/10003475296
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Tests of the martingale difference hypothesis using boosting and RBF neural network approximations
Kapetanios, George; Blake, Andrew P. - In: Econometric theory 26 (2010) 5, pp. 1363-1397
Persistent link: https://www.econbiz.de/10008662665
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Specification tests for the distribution of errors in nonparametric regression : a martingale approach
Mora, Juan; Pérez-Alonso, Alicia - 2007
Persistent link: https://www.econbiz.de/10003963718
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Data-driven jump detection thresholds for application in jump regressions
Davies, Robert; Tauchen, George Eugene - 2015
This paper develops a method to select the threshold in threshold-based jump detection methods. The method is motivated by an analysis of threshold-based jump detection methods in the context of jump-diffusion models. We show that over the range of sampling frequencies a researcher is most...
Persistent link: https://www.econbiz.de/10011524214
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Small sample properties of non-parametric tests of the martingale hypothesis
Kumar, Dilip; Maheshwaran, S. - In: Finance India : the quarterly journal of Indian … 28 (2014) 1, pp. 17-36
Persistent link: https://www.econbiz.de/10010406355
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On the estimation of integrated volatility with jumps and microstructure noise
Jing, Bingyi; Liu, Zhi; Kong, Xinbing - In: Journal of business & economic statistics : JBES ; a … 32 (2014) 3, pp. 457-467
Persistent link: https://www.econbiz.de/10010488463
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Asymptotic theory for range-based estimation of integrated variance of a continuous semi-martingale
Christensen, Kim (contributor); Podolski, Mark (contributor) - 2005
We provide a set of probabilistic laws for range-based estimation of integrated variance of a continuous semi-martingale …
Persistent link: https://www.econbiz.de/10003084858