Showing 1 - 10 of 50
Persistent link: https://www.econbiz.de/10001491962
This paper proposes a simple and improved nonparametric unit-root test. An asymptotic distribution of the proposed test is established. Finite sample comparisons with an existing nonparametric test are discussed. Some issues about possible extensions are outlined
Persistent link: https://www.econbiz.de/10014166350
This paper introduces an alternative testing procedure to test the distribution of the error term in the Autoregressive Conditional Duration (ACD) class of models. In these models, the error term is normally interpreted as the standardized duration by which its probability distribution may have...
Persistent link: https://www.econbiz.de/10014166683
In this paper, we consider a wide class of time-varying multivariate causal processes which nests many classic and new examples as special cases. We first prove the existence of a weakly dependent stationary approximation for our model which is the foundation to initiate the theoretical...
Persistent link: https://www.econbiz.de/10014082942
Persistent link: https://www.econbiz.de/10013494332
Persistent link: https://www.econbiz.de/10013494366
This paper proposes a nonparametric simultaneous test for parametric specification of the conditional mean and variance functions in a time series regression model. The test is based on an empirical likelihood (EL) statistic that measures the goodness-of-fit between the parametric estimates and...
Persistent link: https://www.econbiz.de/10013135173
stationary time series regressors. A new and simple test is proposed and the resulting asymptotic theory is established. The test …
Persistent link: https://www.econbiz.de/10013101176
This paper proposes a new mutual independence test for a large number of high dimensional random vectors. The test statistic is based on the characteristic function of the empirical spectral distribution of the sample covariance matrix. The asymptotic distributions of the test statistic under...
Persistent link: https://www.econbiz.de/10013108728
-Scholes theory, we derive a pricing formula for a European option from the proposed replication strategy that is quite different from … works in practice and then compare with a replication strategy based on the Black-Scholes theory …
Persistent link: https://www.econbiz.de/10013108729