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Asymptotically distribution-free goodness-of-fit testing : a unifying view
Li, Bo - In: Econometric reviews 28 (2009) 6, pp. 632-657
Persistent link: https://www.econbiz.de/10003881210
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Nonparametric regression for dependent data in the errors-in-variables problem
Honda, Toshio - 2010 - Rev.
Persistent link: https://www.econbiz.de/10003940095
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Estimation of jump tails
Bollerslev, Tim; Todorov, Viktor - 2010
Persistent link: https://www.econbiz.de/10003959796
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Nonparametric quantile regression with heavy-tailed and strongly dependent errors
Honda, Toshio - 2010
We consider nonparametric estimation of the conditional qth quantile for stationary time series. We deal with stationary time series with strong time dependence and heavy tails under the setting of random design. We estimate the conditional qth quantile by local linear regression and investigate...
Persistent link: https://www.econbiz.de/10008808254
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Estimation of jump tails
Bollerslev, Tim; Todorov, Viktor - 2011
Persistent link: https://www.econbiz.de/10009559404
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Estimation of jump tails
Bollerslev, Tim; Todorov, Viktor - In: Econometrica : journal of the Econometric Society, an … 79 (2011) 6, pp. 1727-1783
Persistent link: https://www.econbiz.de/10009425124
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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
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Asymptotic theory for range-based estimation of integrated variance of a continuous semi-martingale
Christensen, Kim (contributor); Podolski, Mark (contributor) - 2005
We provide a set of probabilistic laws for range-based estimation of integrated variance of a continuous semi-martingale …. Moreover, with slightly stronger conditions, in particular a zero drift-term, we find an asymptotic distribution theory. To …
Persistent link: https://www.econbiz.de/10003084858
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An out-of-sample, nonparametric test of the Martingale difference hypothesis
McCracken, Michael W. - In: Applying Kernel and nonparametric estimation to …, (pp. 49-75). 2000
Persistent link: https://www.econbiz.de/10001548462
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No-arbitrage option pricing : new evidence on the validity of the martingale property
Brenner, Menachem; Eom, Young Ho - 1997
Persistent link: https://www.econbiz.de/10001442896