Search Results - subject:"Empirical characteristic function"

Empirical characteristic functions-based estimation and distance correlation for locally stationary processes

Jentsch, Carsten; Leucht, Anne; Meyer, Marco; Beering, … - 2016

In this paper, we propose a kernel-type estimator for the local characteristic function of locally stationary processes. Under weak moment conditions, we prove joint asymptotic normality for local empirical characteristic functions. For time-varying linear processes, we establish a central limit...

Persistent link: https://www.econbiz.de/10011588694

Empirical characteristic functions-based estimation and distance correlation for locally stationary processes

Jentsch, Carsten; Leucht, Anne; Meyer, Marco; Beering, … - 2016 - Version: November 1, 2016

Persistent link: https://www.econbiz.de/10011570173

The Indirect Continuous-GMM Estimation

Kotchoni, Rachidi - HAL - 2013

A curse of dimensionality arises when using the Continuum-GMM procedure to estimate large dimensional models. Two solutions are proposed, both of which convert the high di- mensional model into a continuum of reduced information sets. Under certain regularity conditions, each reduced information...

Persistent link: https://www.econbiz.de/10010899926

Fourier--type estimation of the power garch model with stable--paretian innovations

Francq, Christian; Meintanis, Simos - Volkswirtschaftliche Fakultät, … - 2012

estimation based on the empirical characteristic function of corresponding residuals. Consistency of the estimators is proved …

Persistent link: https://www.econbiz.de/10011113582

Continuous empirical characteristic function estimation of GARCH models

Xu, Dinghai - 2012

Persistent link: https://www.econbiz.de/10009612399

Continuous Empirical Characteristic Function Estimation of Mixtures of Normal Parameters

Xu, Dinghai; Knight, John - Department of Economics, University of Waterloo - 2008

empirical characteristic function (CECF). An iterated estimation procedure based on the closed form objective distance function …

Persistent link: https://www.econbiz.de/10005543346

Asymmetric Stochastic Conditional Duration Model --A Mixture of Normals Approach"

Xu, Dinghai; Knight, John; Wirjanto, Tony S. - Department of Economics, University of Waterloo - 2008

between the two innovations. In addition, it proposes a novel estimation methodology based on the empirical characteristic … function. A set of Monte Carlo experiments as well as empirical applications based on the IBM and Boeing transaction data are …

Persistent link: https://www.econbiz.de/10005543349

Continuous empirical characteristic function estimation of mixtures of normal parameters

Xu, Dinghai; Knight, John L. - 2008

Persistent link: https://www.econbiz.de/10003975373

Testing for Independence between Two stationary Time Series via the Empirical Characteristic Function

Hong, Yongmiao - In: Annals of Economics and Finance 2 (2001) 1, pp. 123-164

empirical characteristic function. Unlike the tests based on the cross-correlation function (e.g. Haugh, 1976; Hong, 1996; Koch …-correlation. By differentiating the empirical characteristic function at the origin, the present approach yields a modified version of … differentiating the empirical characteristic function properly. A simulation study compares the new test with those of Haugh (1976 …

Persistent link: https://www.econbiz.de/10009145677