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Consistent hypothesis testing in semiparametric and nonparametric models for econometric time series

Chen, Xiaohong; Fan, Yanqin - In: Journal of econometrics 91 (1999) 2, pp. 373-401

Persistent link: https://www.econbiz.de/10001382096

Simple tests for models of dependence between multiple financial time series, with applications to US equity returns and exchange rates

Patton, Andrew J.; Chen, Xiaohong; Fan, Yanqin - 2004

Persistent link: https://www.econbiz.de/10002034254

Estimation and model selection of semiparametric copula-based multivariate dynamic models under copula misspecification

Chen, Xiaohong; Fan, Yanqin - In: Journal of econometrics 135 (2006) 1/2, pp. 125-154

Persistent link: https://www.econbiz.de/10003376080

Estimation of copula-based semiparametric time series models

Chen, Xiaohong; Fan, Yanqin - In: Journal of econometrics 130 (2006) 2, pp. 307-335

Persistent link: https://www.econbiz.de/10003277967

Multivariate local polynomial estimators : uniform boundary properties and asymptotic linear representation

Fan, Yanqin; Guerre, Emmanuel - In: Essays in honor of Aman Ullah, (pp. 489-537). 2016

Persistent link: https://www.econbiz.de/10011530319

Estimation and inference in a high-dimensional semiparametric Gaussian copula vector autoregressive model

Fan, Yanqin; Han, Fang; Park, Hyeonseok - In: Journal of econometrics 237 (2023) 1, pp. 1-28

Persistent link: https://www.econbiz.de/10014471479

Vector copulas

Fan, Yanqin; Henry, Marc - In: Journal of econometrics 234 (2023) 1, pp. 128-150

Persistent link: https://www.econbiz.de/10014364686

Penalized sieve estimation and inference of semi-nonparametric dynamic models : a selective review

Chen, Xiaohong - 2011

In this selective review, we first provide some empirical examples that motivate the usefulness of semi-nonparametric techniques in modelling economic and financial time series. We describe popular classes of semi-nonparametric dynamic models and some temporal dependence properties. We then...

Persistent link: https://www.econbiz.de/10009230387

Penalized sieve estimation and inference of seminonparametric dynamic models : a selective review

Chen, Xiaohong - 2013

Persistent link: https://www.econbiz.de/10010247717

Penalized sieve estimation and inference of semi-nonparametric dynamic models: A selective review

Chen, Xiaohong - 2011

Persistent link: https://www.econbiz.de/10010288336