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Maximum likelihood and Gaussian estimation of continuous time models in finance

Phillips, Peter C. B. (contributor); Yu, Jun (contributor) - 2007

Persistent link: https://www.econbiz.de/10003462517

Structural change in tail behavior and the Asian financial crisis

Quintos, Carmela E.; Fan, Zhenhong; Phillips, Peter C. B. - 2000

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Random coefficient continuous systems : testing for extreme sample path behaviour

Tao, Yubo; Phillips, Peter C. B.; Yu, Jun - 2017

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Information content of DSGE forecasts

Fair, Ray C. - 2018

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Specification testing for nonlinear cointegrating regression

Wang, Qiying; Phillips, Peter C. B. - 2011

We provide a limit theory for a general class of kernel smoothed U statistics that may be used for specification … cointegration and regressors that have autoregressive unit roots or near unit roots. The limit theory for the specification test …

Persistent link: https://www.econbiz.de/10008826041

Semiparametric estimation in time series of simultaneous equations

Gao, Jiti; Phillips, Peter C. B. - 2010

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Sieve semiparametric two-step GMM under weak dependence

Chen, Xiaohong; Liao, Zhipeng - 2015

Persistent link: https://www.econbiz.de/10011312300

Testing mean stability of heteroskedastic time series

Dalla, Violetta; Giratis, Liudas; Phillips, Peter C. B. - 2015

Persistent link: https://www.econbiz.de/10011312317

Specification tests for nonlinear dynamic models

Kheifets, Igor - 2014

Persistent link: https://www.econbiz.de/10010257335

Optimal uniform convergence rates and asymptotic normality for series estimators under weak dependence and weak conditions

Chen, Xiaohong; Christensen, Timothy M. - 2014

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