Similar Search Results - EconBiz

A noise-robust estimator of volatility based on interquantile ranges

Yeh, Jin-huei; Wang, Jying-Nan; Kuan, Chung-ming - In: Review of quantitative finance and accounting 43 (2014) 4, pp. 751-779

Persistent link: https://www.econbiz.de/10010490993

A Noise-Robust Estimator of Volatility Based on Interquantile Ranges

Yeh, Jin-huei - 2010

This paper proposes a new class of estimators based on the inter-quantile-range of intraday returns, referred to as Inter-Quantile-Range-based volatility (IQRBV), to estimate the integrated daily volatility. As the range-based volatility measure, the IQRBV estimate is insensitive to market...

Persistent link: https://www.econbiz.de/10013138933

Testing the predictive ability of technical analysis using a new stepwise test without data snooping bias

Hsu, Po-hsuan; Hsu, Yu-Chin; Kuan, Chung-ming - In: Journal of empirical finance 17 (2010) 3, pp. 471-484

Persistent link: https://www.econbiz.de/10009267287

Testing over : identifying restrictions without consistent estimation of the asymptotic covariance matrix

Lee, Wei-ming; Kuan, Chung-ming; Hsu, Yu-Chin - 2014

Persistent link: https://www.econbiz.de/10010246721

A generalized stepwise procedure with improved power for multiple inequalities testing/ Yu-chin Hsu; Chung-ming Kuan; Meng-feng Yen

Hsu, Yu-Chin; Kuan, Chung-ming; Yen, Meng-feng - 2013

Persistent link: https://www.econbiz.de/10009703564

Robust hypothesis tests for m-estimators with possibly non-differentiable estimating functions

Lee, Wei-ming; Hsu, Yu-Chin; Kuan, Chung-ming - 2014

Persistent link: https://www.econbiz.de/10010355209

Testing over-identifying restrictions without consistent estimation of the asymptotic covariance matrix

Lee, Wei-Ming; Kuan, Chung-ming; Hsu, Yu-Chin - In: Journal of econometrics 181 (2014) 2, pp. 181-193

Persistent link: https://www.econbiz.de/10010473309

Change-point estimation of nonstationary I(d)

Hsu, Yu-Chin (contributor); Kuan, Chung-ming (contributor) - 2006

Persistent link: https://www.econbiz.de/10003371592

Change-point estimation of nonstationary I(d) processes

Hsu, Yu-Chin; Kuan, Chung-ming - In: Economics letters 98 (2008) 2, pp. 115-121

Persistent link: https://www.econbiz.de/10003624002

Robust hypothesis tests for M-estimators with possibly non-differentiable estimating functions

Lee, Wei-Ming; Hsu, Yu-Chin; Kuan, Chung-ming - In: The econometrics journal 18 (2015) 1, pp. 95-116

Persistent link: https://www.econbiz.de/10011345990

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