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Tests of the martingale difference hypothesis using boosting and RBF neural network approximations

Kapetanios, George; Blake, Andrew P. - In: Econometric theory 26 (2010) 5, pp. 1363-1397

Persistent link: https://www.econbiz.de/10008662665

Nonparametric likelihood inference for general autoregressive models

Bravo, Francesco - In: Statistical methods & applications : SMA ; journal of … 19 (2010) 1, pp. 79-106

Persistent link: https://www.econbiz.de/10003945288

Asymptotically distribution-free tests for the volatility function of a diffusion

Chen, Qiang; Zheng, Xu; Pan, Zhiyuan - In: Journal of econometrics 184 (2015) 1, pp. 124-144

Persistent link: https://www.econbiz.de/10011326801

Nonparametric estimation of state-price densities implicit in interest rate cap prices

Li, Haitao; Zhao, Feng - In: The review of financial studies 22 (2009) 11, pp. 4335-4376

Persistent link: https://www.econbiz.de/10003896303

Specification tests for the distribution of errors in nonparametric regression : a martingale approach

Mora, Juan; Pérez-Alonso, Alicia - 2007

Persistent link: https://www.econbiz.de/10003963718

Data-driven jump detection thresholds for application in jump regressions

Davies, Robert; Tauchen, George Eugene - 2015

This paper develops a method to select the threshold in threshold-based jump detection methods. The method is motivated by an analysis of threshold-based jump detection methods in the context of jump-diffusion models. We show that over the range of sampling frequencies a researcher is most...

Persistent link: https://www.econbiz.de/10011524214