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Verallgemeinerte lineare Modelle mit Potenz-Varianzfunktion
Hipp, Christian - In: Risikoforschung und Versicherung : Festschrift für …, (pp. 237-251). 2004
Persistent link: https://www.econbiz.de/10002431383
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Additive modeling of realized variance : tests for parametric specifications and structural breaks
Fengler, Matthias; Mammen, Enno; Vogt, Michael - 2013
Persistent link: https://www.econbiz.de/10010244914
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Specification and structural break tests for additive models with applications to realized variance data
Fengler, Matthias; Mammen, Enno; Vogt, Michael - In: Journal of econometrics 188 (2015) 1, pp. 196-218
Persistent link: https://www.econbiz.de/10011500308
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Specification and Structural Break Tests for Additive Models with Applications to Realized Variance Data
Fengler, Matthias - 2015
We study two types of testing problems in a nonparametric additive model setting: We develop methods to test (i) whether an additive component function has a given parametric form and (ii) whether an additive component has a structural break. We apply the theory to a nonparametric extension of...
Persistent link: https://www.econbiz.de/10013034796