Search Results - subject:"semiparametric specification test"

Capturing the zero: A new class of zero-augmented distributions and multiplicative error processes

Hautsch, Nikolaus; Malec, Peter; Schienle, Melanie - 2011

cumulated trading volumes. We introduce a flexible point-mass mixture distribution and develop a semiparametric specification … test explicitly tailored for such distributions. Moreover, we propose a new type of multiplicative error model (MEM) based …

Persistent link: https://www.econbiz.de/10010308578

Capturing the zero: A new class of zero-augmented distributions and multiplicative error processes

Hautsch, Nikolaus; Malec, Peter; Schienle, Melanie - Center for Financial Studies - 2011

Persistent link: https://www.econbiz.de/10010958711

Capturing the zero: A new class of zero-augmented distributions and multiplicative error processes

Hautsch, Nikolaus; Malec, Peter; Schienle, Melanie - 2010

-mass mixture distribution and develop a semiparametric specification test explicitly tailored for such distributions. Moreover, we …

Persistent link: https://www.econbiz.de/10010281483

Capturing the zero: A new class of zero-augmented distributions and multiplicative error processes

Hautsch, Nikolaus; Malec, Peter; Schienle, Melanie - 2010

pointmass mixture distribution and develop a semiparametric specification test explicitly tailored for such distributions …

Persistent link: https://www.econbiz.de/10010303692

Capturing the Zero: A New Class of Zero-Augmented Distributions and Multiplicative Error Processes

Hautsch, Nikolaus; Malec, Peter; Schienle, Melanie - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2010

-mass mixture distribution and develop a semiparametric specification test explicitly tailored for such distributions. Moreover, we …

Persistent link: https://www.econbiz.de/10008727350

Capturing the zero: A new class of zero-augmented distributions and multiplicative error processes

Hautsch, Nikolaus; Malec, Peter; Schienle, Melanie - Center for Financial Studies - 2010

pointmass mixture distribution and develop a semiparametric specification test explicitly tailored for such distributions …

Persistent link: https://www.econbiz.de/10010958666

Capturing the zero : a new class of zero-augmented distributions and multiplicative error processes

Hautsch, Nikolaus; Malec, Peter; Schienle, Melanie - In: Journal of financial econometrics : official journal of … 12 (2014) 1, pp. 89-121

Persistent link: https://www.econbiz.de/10010233604