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subject:"Volatility"
type_genre:"Article in journal"
~person:"Cai, Zongwu"
~person:"Demetrescu, Matei"
~subject:"Statistical test"
~type:"article"
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Search: subject_exact:"Estimation theory"
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Volatility
Statistical test
Estimation theory
43
Schätztheorie
43
Regression analysis
18
Regressionsanalyse
18
Nichtparametrisches Verfahren
17
Nonparametric statistics
17
Statistischer Test
14
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13
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Cai, Zongwu
Demetrescu, Matei
Kumar, Dilip
16
Maheswaran, S.
14
Todorov, Viktor
12
Bera, Anil K.
11
Li, Jia
11
Francq, Christian
10
Shi, Xiaoxia
10
Tauchen, George Eugene
10
Baltagi, Badi H.
9
Dufour, Jean-Marie
9
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9
Sun, Yixiao
9
Teräsvirta, Timo
9
Chen, Yi-ting
8
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8
Su, Liangjun
8
White, Halbert
8
Andersen, Torben
7
Andrews, Donald W. K.
7
Escanciano, Juan Carlos
7
Ghysels, Eric
7
Guggenberger, Patrik
7
Kim, Donggyu
7
Kleibergen, Frank
7
Li, Yingying
7
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7
Mykland, Per A.
7
Zakoïan, Jean-Michel
7
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6
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6
Fan, Jianqing
6
Hsu, Yu-Chin
6
Jin, Sainan
6
Kao, Chihwa
6
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6
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6
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6
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Journal of econometrics
5
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2
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2
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1
International journal of forecasting
1
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1
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ECONIS (ZBW)
16
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1
Robust inference under time-varying volatility : a real-time evaluation of professional forecasters
Demetrescu, Matei
;
Hanck, Christoph
;
Kruse-Becher, Robinson
- In:
Journal of applied econometrics
37
(
2022
)
5
,
pp. 1010-1030
Persistent link: https://www.econbiz.de/10013464645
Saved in:
2
Testing for episodic predictability in stock returns
Demetrescu, Matei
;
Georgiev, Iliyan
;
Rodrigues, Paulo M. M.
- In:
Journal of econometrics
227
(
2022
)
1
,
pp. 85-113
Persistent link: https://www.econbiz.de/10013441625
Saved in:
3
Testing capital asset pricing models using functional-coefficient panel data models with cross-sectional dependence
Cai, Zongwu
;
Fang, Ying
;
Xu, Qiuhua
- In:
Journal of econometrics
227
(
2022
)
1
,
pp. 114-133
Persistent link: https://www.econbiz.de/10013441628
Saved in:
4
Testing heteroskedasticity for predictive regressions with nonstationary regressors
Hong, Shaoxin
;
Zhang, Zhengyi
;
Cai, Zongwu
- In:
Economics letters
201
(
2021
),
pp. 1-4
Persistent link: https://www.econbiz.de/10012607071
Saved in:
5
Semiparametric inferences for panel data models with fixed effects via nearest neighbor difference transformation
Xu, Qiuhua
;
Cai, Zongwu
;
Fang, Ying
- In:
Econometric reviews
40
(
2021
)
10
,
pp. 919-943
Persistent link: https://www.econbiz.de/10012624566
Saved in:
6
Unified tests for a dynamic predictive regression
Yang, Bingduo
;
Liu, Xiaohui
;
Peng, Liang
;
Cai, Zongwu
- In:
Journal of business & economic statistics : JBES ; a …
39
(
2021
)
3
,
pp. 684-699
Persistent link: https://www.econbiz.de/10012588007
Saved in:
7
An alternative test for conditional unconfoundedness using auxiliary variables
Fang, Ying
;
Tang, Shengfang
;
Cai, Zongwu
;
Lin, Ming
- In:
Economics letters
194
(
2020
),
pp. 1-5
Persistent link: https://www.econbiz.de/10012509265
Saved in:
8
Bias corrections for exponentially transformed forecasts : are they worth the effort?
Demetrescu, Matei
;
Golosnoy, Vasyl
;
Titova, Anna
- In:
International journal of forecasting
36
(
2020
)
3
,
pp. 761-780
Persistent link: https://www.econbiz.de/10012496846
Saved in:
9
Testing for constant correlation of filtered series under structural change
Demetrescu, Matei
;
Wied, Dominik
- In:
The econometrics journal
22
(
2019
)
1
,
pp. 10-33
Persistent link: https://www.econbiz.de/10012166648
Saved in:
10
The estimation for Lévy processes in high frequency data
Zheng, Jing
;
Gu, Wentao
;
Xu, Baolin
;
Cai, Zongwu
- In:
Econometric reviews
37
(
2018
)
6/10
,
pp. 1051-1066
Persistent link: https://www.econbiz.de/10012040536
Saved in:
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