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On the second-order properties of empirical likelihood with moment restrictions

Chen, Song Xi; Cui, Hengjian - In: Journal of econometrics 141 (2007) 2, pp. 492-516

Persistent link: https://www.econbiz.de/10003571315

An adaptive empirical likelihood test for parametric time series regression models

Chen, Song Xi; Gao, Jiti - In: Journal of econometrics 141 (2007) 2, pp. 950-972

Persistent link: https://www.econbiz.de/10003571369

Simultaneous specification testing of mean and variance structures in nonlinear time series regression

Chen, Song Xi; Gao, Jiti - In: Econometric theory 27 (2011) 4, pp. 792-843

Persistent link: https://www.econbiz.de/10009311732

High dimensional generalized empirical likelihood for moment restrictions with dependent data

Chan, Jinyuan; Chen, Song Xi; Chen, Xiaohong - In: Journal of econometrics 185 (2015) 1, pp. 283-304

Persistent link: https://www.econbiz.de/10011339855

On implied volatility for options : some reasons to smile and more to correct

Chen, Song Xi; Xu, Zheng - In: Journal of econometrics 179 (2014) 1, pp. 1-15

Persistent link: https://www.econbiz.de/10010258291

Simultaneous testing of mean and variance structures in nonlinear time series models

Chen, Song Xi; Gao, Jiti - 2010

Persistent link: https://www.econbiz.de/10008771369

An empirical likelihood goodness-of-fit test for time series

Chen, Song Xi; Härdle, Wolfgang; Kleinow, Torsten - 2000

The testing of a computing model for a stationary time series is a standard task in statistics. When a parametric approach is used to model the time series, the question of goodness-of-fit arises. In this paper, we employ the empirical likelihood for an a-mixing process and formulate a statistic...

Persistent link: https://www.econbiz.de/10009612573

Nonparametric statistical inference of value at risk for financial time series

Chen, Song Xi; Tang, Cheng Yong - 2003

Persistent link: https://www.econbiz.de/10002250834

Nonparametric inference of value-at-risk for dependent financial returns

Chen, Song Xi; Tang, Cheng Yong - In: Journal of financial econometrics : official journal of … 3 (2005) 2, pp. 227-255

Persistent link: https://www.econbiz.de/10002811347

Information recovery in a study with surrogate endpoints

Chen, Song Xi; Leung, Denis H. Y.; Qin, Jing - In: Journal of the American Statistical Association : JASA 98 (2003) 464, pp. 1052-1062

Persistent link: https://www.econbiz.de/10001975435

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