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Consistent hypothesis testing in semiparametric and nonparametric models for econometric time series

Chen, Xiaohong; Fan, Yanqin - In: Journal of econometrics 91 (1999) 2, pp. 373-401

Persistent link: https://www.econbiz.de/10001382096

Simple tests for models of dependence between multiple financial time series, with applications to US equity returns and exchange rates

Patton, Andrew J.; Chen, Xiaohong; Fan, Yanqin - 2004

Persistent link: https://www.econbiz.de/10002034254

Estimation and model selection of semiparametric multivariate survival functions under general censorship

Chen, Xiaohong; Fan, Yanqin; Pouzo, Demian; Ying, Zhiliang - In: Journal of econometrics 157 (2010) 1, pp. 129-142

Persistent link: https://www.econbiz.de/10008661728

Efficient estimation of semiparametric multivariate copula models

Chen, Xiaohong; Fan, Yanqin; Tsyrennikov, Viktor - In: Journal of the American Statistical Association : JASA 101 (2006), pp. 1228-1240

Persistent link: https://www.econbiz.de/10003375981

Estimation and model selection of semiparametric copula-based multivariate dynamic models under copula misspecification

Chen, Xiaohong; Fan, Yanqin - In: Journal of econometrics 135 (2006) 1/2, pp. 125-154

Persistent link: https://www.econbiz.de/10003376080

Estimation and model selection of semiparametric multivariate survival functions under general censorship

Chen, Xiaohong; Fan, Yanqin; Pouzo, Demian; Ying, Zhiliang - 2008

Persistent link: https://www.econbiz.de/10003778347

A model selection test for bivariate failure-time data

Chen, Xiaohong; Fan, Yanqin - In: Econometric theory 23 (2007) 3, pp. 414-439

Persistent link: https://www.econbiz.de/10003541246

Estimation of copula-based semiparametric time series models

Chen, Xiaohong; Fan, Yanqin - In: Journal of econometrics 130 (2006) 2, pp. 307-335

Persistent link: https://www.econbiz.de/10003277967

Evaluating density forecasts via the copula approach

Chen, Xiaohong; Fan, Yanqin - In: Finance research letters 1 (2004) 1, pp. 74-84

Persistent link: https://www.econbiz.de/10003307253

Estimation and Model Selection of Semiparametric Multivariate Survival Functions under General Censorship

Chen, Xiaohong - 2008

Many models of semiparametric multivariate survival functions are characterized by nonparametric marginal survival functions and parametric copula functions, where different copulas imply different dependence structures. This paper considers estimation and model selection for these...

Persistent link: https://www.econbiz.de/10012768392