In this paper, we develop a theta-discretization of time integrands for numerical solutions of forward-backward stochastic differential equations, and suggest a new set of basic functions to the Least -squares Monte Carlo simulations. This set of basic functions bases on characteristic functions...

This article proposes omnibus specification tests of parametric dynamic quantile regression models. Contrary to the existing procedures, we allow for a flexible and general specification framework where a possibly continuum of quantiles are simultaneously specified. This is the case for many...

In this article, the problem of constructing efficient discriminating designs in a Fourier regression model is considered. We propose designs which maximize the efficiency for the estimation of the coefficient corresponding to the highest frequency subject to the constraints that the...