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Optimal inference in dynamic models with conditional moment restrictions

Christensen, Bent Jesper (contributor); … - 2008

Persistent link: https://www.econbiz.de/10003774664

Park, Joon Y. (contributor); Wang, Yoon-Jae (contributor) - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 9 (2005) 2, pp. 1-29

Persistent link: https://www.econbiz.de/10003283215

Empirically based modeling in financial economics and beyond, and spurious stylized facts

Bassler, Kevin E.; Gunaratne, Gemunu H.; McCauley, Joseph L. - In: International review of financial analysis 17 (2008) 5, pp. 767-783

Persistent link: https://www.econbiz.de/10003792190

Understanding limit theorems for semimartingales: a short survey

Podolskij, Mark; Vetter, Mathias - 2009

Persistent link: https://www.econbiz.de/10003883610

Nonparametric regression for dependent data in the errors-in-variables problem

Honda, Toshio - 2010 - Rev.

Persistent link: https://www.econbiz.de/10003940095

Nonparametric quantile regression with heavy-tailed and strongly dependent errors

Honda, Toshio - 2010

We consider nonparametric estimation of the conditional qth quantile for stationary time series. We deal with stationary time series with strong time dependence and heavy tails under the setting of random design. We estimate the conditional qth quantile by local linear regression and investigate...