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One-step semiparametric estimation of the GARCH model
Di, Jianing; Gangopadhyay, Ashis - In: Journal of financial econometrics : official journal of … 12 (2014) 2, pp. 382-407
Persistent link: https://www.econbiz.de/10010351543
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Forecasting under structural breaks using improved weighted estimation
Lee, Tae-hwy; Parsaeian, Shahnaz; Ullah, Aman - 2022
Persistent link: https://www.econbiz.de/10013284029
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Distribution theory for the studentized mean for long, short, and negative memory time series
McElroy, Tucker; Politis, Dimitris N. - In: Journal of econometrics 177 (2013) 1, pp. 60-76
Persistent link: https://www.econbiz.de/10010189878
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Fixed-b inference for testing structural change in a time series regression
Cho, Cheol-keun; Vogelsang, Timothy J.; Montañés, Antonio - In: Econometrics : open access journal 5 (2017) 1, pp. 1-26
on nonparametric covariance matrix estimators are explored. Fixed-b theory is developed for the HAC estimators which … statistics depend on the break fraction and the bandwidth tuning parameter as well as on the kernel. When the break date is …
Persistent link: https://www.econbiz.de/10011653607
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A test of symmetry based on L-moments with an application to the business cycles of the G7 economies
Bastianin, Andrea; Manera, Matteo - In: Economics letters 198 (2021), pp. 1-6
Persistent link: https://www.econbiz.de/10012605747
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Bootstrap-assisted tests of symmetry for dependent data
Psaradakis, Zacharias G.; Vávra, Márian - 2018
Persistent link: https://www.econbiz.de/10011903680
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Bootstrap assisted tests of symmetry for dependent data
Psaradakis, Zacharias G.; Vávra, Marián - 2018
Persistent link: https://www.econbiz.de/10012134646
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An intuitive skewness-based symmetry test applicable to stationary time series data
Hartigan, Luke - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 23 (2019) 5, pp. 1-17
Persistent link: https://www.econbiz.de/10012198490
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Testing for symmetry in weakly dependent time series
Hartigan, Luke - 2016
Persistent link: https://www.econbiz.de/10011783170
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A test of time reversibility based on L-moments with an application to the business cycles of the G7 economies
Bastianin, Andrea; Manera, Matteo - 2020
Persistent link: https://www.econbiz.de/10012320312