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Long Run Canonical Correlations : Estimation and Inference

Dovonon, Prosper - 2009

This paper proposes methods for both the consistent estimation of so-called long run canonical correlations (LRCCs) and also testing the null hypothesis that a subset of LRCCs are zero. Two test statistics are proposed and their limiting distribution is derived under the null hypothesis. It is...

Persistent link: https://www.econbiz.de/10013155084

The geometric-VaR backtesting method

Pelletier, Denis; Wei, Wei - In: Journal of financial econometrics : official journal of … 14 (2016) 4, pp. 725-745

Persistent link: https://www.econbiz.de/10011623861

Local-linear estimation of time-varying-parameter garch models and associated risk measures

Inoue, Atsushi; Lu, Jin; Pelletier, Denis - In: Journal of financial econometrics 19 (2021) 1, pp. 202-234

Persistent link: https://www.econbiz.de/10012504329

A stochastic price duration model for estimating high-frequency volatility

Pelletier, Denis; Wei, Wei - 2024

Persistent link: https://www.econbiz.de/10015338802

A nonparametric approach to stochastic discount factor estimation

Hu, Fan; Hall, Alastair R.; Nychka, Douglas W. - In: Applying Kernel and nonparametric estimation to …, (pp. 155-176). 2000

Persistent link: https://www.econbiz.de/10001548534

Testing target-zone models using efficient method of moments

Chung, Chae-shick; Tauchen, George Eugene - In: Journal of business & economic statistics : JBES ; a … 19 (2001) 3, pp. 255-269

Persistent link: https://www.econbiz.de/10001603242

GARP, separability, and the representative agent

Fleissig, Adrian R.; Hall, Alastair R.; Seater, John J. - In: Macroeconomic dynamics 4 (2000) 3, pp. 324-342

Persistent link: https://www.econbiz.de/10001520612

Testing structural stability in macroeconometric models

Boldea, Otilia; Hall, Alastair R. - In: Handbook of research methods and applications in …, (pp. 206-228). 2013

Persistent link: https://www.econbiz.de/10010206799