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Simultaneous specification testing of mean and variance structures in nonlinear time series regression

Chen, Song Xi; Gao, Jiti - In: Econometric theory 27 (2011) 4, pp. 792-843

Persistent link: https://www.econbiz.de/10009311732

An empirical likelihood goodness of fit test for time series

Chen, Song Xi; Härdle, Wolfgang; Kleinow, Torsten - 2001

Persistent link: https://www.econbiz.de/10001580375

Nonparametric estimation for a class of Lévy processes

Chen, Song Xi; Delaigle, Aurore; Hall, Peter - In: Journal of econometrics 157 (2010) 2, pp. 257-271

Persistent link: https://www.econbiz.de/10008663024

Empirical likelihood methods based on characteristic functions with applications to Lévy processes

Chan, Ngai Hang; Chen, Song Xi; Peng, Liang; Yu, Cindy L. - In: Journal of the American Statistical Association : JASA 104 (2009) 488, pp. 1621-1630

Persistent link: https://www.econbiz.de/10003993190

On implied volatility for options : some reasons to smile and more to correct

Chen, Song Xi; Xu, Zheng - In: Journal of econometrics 179 (2014) 1, pp. 1-15

Persistent link: https://www.econbiz.de/10010258291

Tests for high-dimensional covariance matrices

Chen, Song Xi; Zhang, Li-xin; Zhong, Ping-shou - In: Journal of the American Statistical Association : JASA 105 (2010) 490, pp. 810-819

Persistent link: https://www.econbiz.de/10008736837

High dimensional generalized empirical likelihood for moment restrictions with dependent data

Chan, Jinyuan; Chen, Song Xi; Chen, Xiaohong - In: Journal of econometrics 185 (2015) 1, pp. 283-304

Persistent link: https://www.econbiz.de/10011339855

Testing super-diagonal structure in high dimensional covariance matrices

He, Jing; Chen, Song Xi - In: Journal of econometrics 194 (2016) 2, pp. 283-297

Persistent link: https://www.econbiz.de/10011705144

Enhancing estimation for interest rate diffusion models with bond prices

Zou, Tao; Chen, Song Xi - In: Journal of business & economic statistics : JBES ; a … 35 (2017) 3, pp. 486-498

Persistent link: https://www.econbiz.de/10011705972

An empirical likelihood goodness-of-fit test for time series

Chen, Song Xi; Härdle, Wolfgang; Kleinow, Torsten - 2000

The testing of a computing model for a stationary time series is a standard task in statistics. When a parametric approach is used to model the time series, the question of goodness-of-fit arises. In this paper, we employ the empirical likelihood for an a-mixing process and formulate a statistic...

Persistent link: https://www.econbiz.de/10009612573