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A nonparametric specification test for the volatility functions of diffusion processes
Chen, Qiang; Hu, Meidi; Song, Xiaojun - In: Econometric reviews 38 (2019) 5, pp. 557-576
Persistent link: https://www.econbiz.de/10012181335
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Finite-sample distribution-free inference in linear median regressions under heteroscedasticity and non-linear dependence of unknown form
Coudin, Elise; Dufour, Jean-Marie - In: The econometrics journal 12 (2009), pp. 19-49
Persistent link: https://www.econbiz.de/10003876273
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A new semiparametric mirrored historical simulation value-at-risk model
Radivojević, Nikola; Filipović, Luka; Brzaković, … - In: Romanian journal of economic forecasting 23 (2020) 1, pp. 5-21
Persistent link: https://www.econbiz.de/10012421878
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Value-at-risk estimation with stochastic interest rate models for option-bond portfolios
Wang, Xiaoyu; Xie, Dejun; Jiang, Jingjing; Wu, Xiaoxia; … - In: Finance research letters 21 (2017), pp. 10-20
Persistent link: https://www.econbiz.de/10011807256
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Testing for strict stationarity
Kapetanios, George (contributor) - 2007
Persistent link: https://www.econbiz.de/10003475291
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A test for strict stationarity
Lima, Luiz Renato; Néri, Breno de Andrade Pinheiro - In: Uncertainty analysis in econometrics with applications …, (pp. 17-30). 2013
Persistent link: https://www.econbiz.de/10009711170
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Testing for strict stationarity via the discrete fourier transform
Fu, Zhonghao; Gao, Shang; Su, Liangjun; Wang, Xia - In: Econometric theory 40 (2024) 3, pp. 511-557
Persistent link: https://www.econbiz.de/10015055106
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Empirical Tests for Stochastic Dominance Efficiency
Post, Thierry - 2012
We derive empirical tests for the stochastic dominance efficiency of a given portfolio with respect to all possible portfolios constructed from a set of assets. The tests can be computed using straightforward linear programming. Bootstrapping techniques and asymptotic distribution theory can...
Persistent link: https://www.econbiz.de/10014075311
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A non-parametric estimator for stochastic volatility density
Ouamaliche, Soufiane; Sayah, Awatef - In: International journal of computational economics and … 11 (2021) 4, pp. 349-367
Persistent link: https://www.econbiz.de/10012655445
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Finite Sample Comparison of Alternative Estimators of Itô Diffusion Processes -- A Monte Carlo Study
Jiang, George J.; Knight, John - 2012
observations. Based on Monte Carlo simulation, we investigate the finite sample properties of various estimators and in particular …, namely the ML, NLS (or OLS), and GMM estimators. The simulation results show that, with certain large samples over a short …
Persistent link: https://www.econbiz.de/10014165114