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Three empirical studies of firm behavior in imperfectly competitive markets
Sullivan, Daniel Gerard - 1987
Persistent link: https://www.econbiz.de/10000762644
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Nonparametric cointegration tests
Bierens, Herman J. - 1994
Persistent link: https://www.econbiz.de/10000888251
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Time series modelling with semiparametric factor dynamics
Borak, Szymon; Härdle, Wolfgang; Mammen, Enno; Park, … - 2007
study the dynamics of the whole high-dimensional system with a low-dimensional representation. We illustrate the theory with …
Persistent link: https://www.econbiz.de/10003633687
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Long memory persistence in the factor of Implied volatility dynamics
Härdle, Wolfgang (contributor); Mungo, Julius (contributor) - 2007
The volatility implied by observed market prices as a function of the strike and time to maturity form an Implied Volatility Surface (IVS). Practical applications require reducing the dimension and characterize its dynamics through a small number of factors. Such dimension reduction is...
Persistent link: https://www.econbiz.de/10003633787
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Model-based estimation of high frequency jump diffusions with microstructure noise and stochastic volatility
Bos, Charles S. - 2008
Persistent link: https://www.econbiz.de/10003645209
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On composite marginal likelihoods
Varin, Cristiano - In: Advances in statistical analysis : AStA ; a journal of … 92 (2008) 1, pp. 1-28
Persistent link: https://www.econbiz.de/10003649955
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Application of penalized splines method in the credit market
Yao, Zhilin - 2008
Persistent link: https://www.econbiz.de/10003738379
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Outlier detection in two-stage semiparametric DEA models
Johnson, Andrew L.; McGinnis, Leon F. - In: European journal of operational research : EJOR 187 (2008) 2, pp. 629-635
Persistent link: https://www.econbiz.de/10003769369
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Out-of-sample comparison of Copula specifications in multivariate density forecasts
Diks, Cees G. H.; Panchenko, Valentyn; Dijk, Dick van - 2008
Persistent link: https://www.econbiz.de/10003787159
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On nonparametric tests for trend detection in seasonal time series
Morell, Oliver; Fried, Roland - In: Statistical inference, econometric analysis and matrix …, (pp. 19-39). 2009
Persistent link: https://www.econbiz.de/10003780880