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Data-driven particle filters for Particle Markov Chain Monte Carlo

Leung, Patrick; Forbes, Catherine Scipione; Martin, Gael M. - 2016

Persistent link: https://www.econbiz.de/10011781784

Dynamic price jumps : the performance of high frequency tests and measures, and the robustness of inference

Maneesoonthorn, Worapree; Martin, Gael M.; Forbes, … - 2018

Persistent link: https://www.econbiz.de/10012583570

High-frequency jump tests : which test should we use?

Maneesoonthorn, Worapree; Martin, Gael M.; Forbes, … - 2020 - (Revised working paper 17/18)

Persistent link: https://www.econbiz.de/10012606872

High-frequency jump tests : which test should we use?

Maneesoonthorn, Worapree; Martin, Gael M.; Forbes, … - In: Journal of econometrics 219 (2020) 2, pp. 478-487

Persistent link: https://www.econbiz.de/10012483405

The Effect of Regression Design on Optimal Tests for Finding Break Positions

McCabe, Brendan P.M. - 2017

In this paper, we derive an optimal test for determining break positions in Gaussian linear regressions. The procedure is an admissible rule in a multiple decision theory setting and the results are exact and valid in small samples. The analysis indicates that regression design can have a very...

Persistent link: https://www.econbiz.de/10012967509