Density and conditional distribution based specification analysis
Year of publication: |
2013
|
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Authors: | Duong, Diep ; Swanson, Norman |
Publisher: |
New Brunswick, NJ : Rutgers University, Department of Economics |
Subject: | multi-factor diffusion process | specification test | out-of-sample forecast | jump process | block bootstrap |
Series: | Working Paper ; 2013-12 |
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Type of publication: | Book / Working Paper |
Type of publication (narrower categories): | Working Paper |
Language: | English |
Other identifiers: | 752415646 [GVK] hdl:10419/94238 [Handle] RePEc:rut:rutres:201312 [RePEc] |
Classification: | C22 - Time-Series Models ; C51 - Model Construction and Estimation |
Source: |
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