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An efficient integrated nonparametric entropy estimator of serial dependence

Hong, Yongmiao; Wang, Xia; Zhang, Wenjie; Wang, Shouyang - In: Econometric reviews 36 (2017) 6/9, pp. 728-780

Persistent link: https://www.econbiz.de/10011795488

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

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

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

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