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Efficient estimation of nonparametric regression in the presence of dynamic heteroskedasticity

Linton, Oliver; Xiao, Zhijie - 2019

Persistent link: https://www.econbiz.de/10012692312

Efficient estimation of nonparametric regression in the presence of dynamic heteroskedasticity

Linton, Oliver; Xiao, Zhijie - In: Journal of econometrics 213 (2019) 2, pp. 608-631

Persistent link: https://www.econbiz.de/10012304598

Slope heuristics and V-Fold model selection in heteroscedastic regression using strongly localized bases

Navarro, Fabien; Saumard, Adrien - 2017

Persistent link: https://www.econbiz.de/10012200026

Estimating conditional average treatment effects with heteroscedasticity by model averaging and matching

Shi, Pengfei; Zhang, Xinyu; Zhong, Wei - In: Economics letters 238 (2024), pp. 1-4

Persistent link: https://www.econbiz.de/10015075165

Estimation of integrated volatility in continuous time financial models with applications to goodness-of-fit testing

Vetter, Mathias; Podolskij, Mark; Dette, Holger - 2004

Properties of a specification test for the parametric form of the variance function in diffusion processes dXt = b (t,Xt) dt + sigma (t,Xt) dWt are discussed. The test is based on the estimation of certain integrals of the volatility function. If the volatility function does not depend on the...

Persistent link: https://www.econbiz.de/10010296615

Estimation of integrated volatility in continuous time financial models with applications to goodness-of-fit testing

Vetter, Mathias; Podolskij, Mark; Dette, Holger - Institut für Wirtschafts- und Sozialstatistik, … - 2004

Persistent link: https://www.econbiz.de/10009216870

Asymptotically distribution-free goodness-of-fit testing for tail copulas

Can, Sami Umut; Einmahl, John H. J.; Khmaladze, Estate V.; … - 2014

Persistent link: https://www.econbiz.de/10011283328

Copula-GARCH versus dynamic conditional correlation : an empirical study on VaR and ES forecasting accuracy

Weiß, Gregor - In: Review of quantitative finance and accounting 41 (2013) 2, pp. 179-202

Persistent link: https://www.econbiz.de/10009774463

Copula-GARCH versus dynamic conditional correlation: an empirical study on VaR and ES forecasting accuracy

Weiß, Gregor - In: Review of Quantitative Finance and Accounting 41 (2013) 2, pp. 179-202

In this paper, we analyze the accuracy of the copula-GARCH and Dynamic Conditional Correlation (DCC) models for forecasting the value-at-risk (VaR) and expected shortfall (ES) of bivariate portfolios. We then try to answer two questions: First, does the correlation-based DCC model outperform the...

Persistent link: https://www.econbiz.de/10010989634

Examining differential item functioning due to item difficulty and alternative attractiveness

Westers, Paul; Kelderman, Henk - In: Psychometrika 57 (1992) 1, pp. 107-118

Persistent link: https://www.econbiz.de/10005156263