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Essays in forecast evaluation
Giacomini, Raffaella - 2003
Persistent link: https://www.econbiz.de/10003622452
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GMM with weak identification
Stock, James H.; Wright, Jonathan H. - In: Econometrica : journal of the Econometric Society, an … 68 (2000) 5, pp. 1055-1096
Persistent link: https://www.econbiz.de/10001510570
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Moment-based tests under parameter uncertainty
Bontemps, Christian - In: The review of economics and statistics 101 (2019) 1, pp. 146-159
Persistent link: https://www.econbiz.de/10012039390
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Marginal conditional stochastic dominance test for efficiency of capitalization-weighted market portfolio
Chow, K. Victor; Hu, Ou - In: International economics & finance journal : (IEFJ) 2 (2007) 1/2, pp. 127-143
Persistent link: https://www.econbiz.de/10003791283
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Goodness-of-fit test for price duration distributions
Matsuoka, Takayasu - 2009
Persistent link: https://www.econbiz.de/10003853899
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Simulative Untersuchung der Eigenschaften von Testverfahren auf Elliptizität mit Anwendung auf Finanzmarktdaten
Gogokhia, Lia - 2008
Persistent link: https://www.econbiz.de/10003672746
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Behaviour of skewness, kurtosis and normality tests in long memory data
Boutahar, Mohamed - In: Statistical methods & applications : SMA ; journal of … 19 (2010) 2, pp. 193-215
Persistent link: https://www.econbiz.de/10003983085
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Misspecification testing in a class of conditional distributional models
Rothe, Christoph; Wied, Dominik - 2012
We propose a specification test for a wide range of parametric models for the conditional distribution function of an outcome variable given a vector of covariates. The test is based on the Cramer-von Mises distance between an unrestricted estimate of the joint distribution function of the data,...
Persistent link: https://www.econbiz.de/10009531435
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Power laws in financial markets : scaling exponent h and alpha-stable distributions
Günay, Samet - In: The journal of applied business research 31 (2015) 1, pp. 305-315
Persistent link: https://www.econbiz.de/10010503416