Similar Search Results

On generating Monte Carlo samples of continuous diffusion bridges

Lin, Ming; Chen, Rong; Mykland, Per A. - In: Journal of the American Statistical Association : JASA 105 (2010) 490, pp. 820-838

Persistent link: https://www.econbiz.de/10008736836

Financial statistics and risk management : an overview

Chen, Rong; Mykland, Per A.; Yao, Qiwei - In: Journal of econometrics 194 (2016) 2, pp. 203-204

Persistent link: https://www.econbiz.de/10011705103

Financial statistics and risk management

Chen, Rong (ed.); Mykland, Per A. (ed.); Yao, Qiwei (ed.) - 2016

Persistent link: https://www.econbiz.de/10011705221

Functional coefficient autoregressive models : estimation and tests of hypotheses

Chen, Rong - 1998

Persistent link: https://www.econbiz.de/10000992340

Functional coefficient autoregressive models : estimation and tests of hypotheses

Chen, Rong - 1998

In this paper we study nonparametric estimation and hypothesis testing procedures for the functional coefficient AR (FAR) models of the form Xt = f1(Xt-d)Xt-1 +…+ fp(Xt-d)Xt-p +εt, first proposed by Chen and Tsay (1993). As a direct generalization of the linear AR model, the FAR model is a...

Persistent link: https://www.econbiz.de/10009574879