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Tilted Nonparametric Estimation of Volatility Functions With Empirical Applications
Xu, Ke-Li; Phillips, Peter C B - In: Journal of business & economic statistics : JBES ; a … 29 (2011) 4, pp. 518-529
Persistent link: https://www.econbiz.de/10009796510
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NONPARAMETRIC INFERENCE FOR CONDITIONAL QUANTILES OF TIME SERIES
Xu, Ke-Li - In: Econometric theory 29 (2013) 4, pp. 673-698
Persistent link: https://www.econbiz.de/10010155198
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Power monotonicity in detecting volatility levels change
Xu, Ke-Li - In: Economics letters 121 (2013) 1, pp. 64-69
Persistent link: https://www.econbiz.de/10010171643
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Adaptive estimation of autoregressive models with time-varying variances
Xu, Ke-Li; Phillips, Peter C.B. - In: Journal of econometrics 142 (2008) 1, pp. 265-280
Persistent link: https://www.econbiz.de/10007894510
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Bootstrapping Autoregression under Non-stationary Volatility
Xu, Ke-Li - In: The econometrics journal 11 (2008) 1, pp. 1-26
Persistent link: https://www.econbiz.de/10007916435
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Empirical likelihood-based inference for nonparametric recurrent diffusions
Xu, Ke-Li - In: Journal of econometrics 153 (2009) 1, pp. 65-82
Persistent link: https://www.econbiz.de/10008311724
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Testing against nonstationary volatility in time series
Xu, Ke-Li - In: Economics letters 101 (2008) 3, pp. 288-292
Persistent link: https://www.econbiz.de/10008143037
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Robustifying multivariate trend tests to nonstationary volatility
Xu, Ke-Li - In: Journal of econometrics 169 (2012) 2, pp. 147-155
Persistent link: https://www.econbiz.de/10009987053
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Powerful tests for structural changes in volatility
Xu, Ke-Li - In: Journal of econometrics 173 (2013) 1, pp. 126-142
Persistent link: https://www.econbiz.de/10010069898
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Testing against nonstationary volatility in time series
Xu, Ke-Li - In: Economics letters 101 (2008) 3, pp. 288-293
Persistent link: https://www.econbiz.de/10008897525