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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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Backfitting and smooth backfitting in varying coefficient quantile regression
Lee, Young K.; Mammen, Enno; Park, Byeong U. - In: The econometrics journal 17 (2014) 2, pp. 20-38
Persistent link: https://www.econbiz.de/10010498737
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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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Calendar effect and in-sample forecasting
Mammen, Enno; Martinez Miranda, Maria Dolores; Nielsen, … - In: Insurance / Mathematics & economics 96 (2021), pp. 31-52
Persistent link: https://www.econbiz.de/10012482744