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Bootstrapping a consistent nonparametric goodness-of-fit test

Fan, Yanqin - In: Econometric reviews 14 (1995) 3, pp. 367-382

Persistent link: https://www.econbiz.de/10001185180

Detecting mean reversion within reflecting barriers: application to the European Exchange Rate Mechanism

Ball, Clifford; Roma, Antonio - In: Applied Mathematical Finance 5 (1998) 1, pp. 1-15

This paper derives a statistical test, based on the first-order autocorrelation, to ascertain whether a stochastic process evolving within reflecting barriers is mean reverting. Under these conditions the standard unit root analysis does not apply. Since the presence of reflecting barriers per...

Persistent link: https://www.econbiz.de/10005495406

Central limit theorem for degenerate U-statistics of absolutely regular processes with applications to model specification testing

Fan, Yanqin; Li, Qi - 1996

Persistent link: https://www.econbiz.de/10000961590

Estimation and model selection of semiparametric multivariate survival functions under general censorship

Chen, Xiaohong; Fan, Yanqin; Pouzo, Demian; Ying, Zhiliang - 2008

Persistent link: https://www.econbiz.de/10003778347

A nonparametric bootstrap test of conditional distributions

Fan, Yanqin; Li, Qi; Min, Insik - In: Econometric theory 22 (2006) 4, pp. 587-613

Persistent link: https://www.econbiz.de/10003351873

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

Evaluating density forecasts via the copula approach

Chen, Xiaohong; Fan, Yanqin - In: Finance research letters 1 (2004) 1, pp. 74-84

Persistent link: https://www.econbiz.de/10003307253

Efficient estimation of semiparametric multivariate copula models

Chen, Xiaohong; Fan, Yanqin; Tsyrennikov, Viktor - In: Journal of the American Statistical Association : JASA 101 (2006), pp. 1228-1240

Persistent link: https://www.econbiz.de/10003375981

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

Unit root tests with wavelets

Fan, Yanqin; Gençay, Ramazan - In: Econometric theory 26 (2010) 5, pp. 1305-1331

Persistent link: https://www.econbiz.de/10008662670