Similar Search Results - EconBiz

Kernel conditional quantile estimation for stationary processes with application to conditional value-at-risk

Wu, Wei Biao; Yu, Keming; Mitra, Gautam - In: Journal of financial econometrics : official journal of … 6 (2008) 2, pp. 253-270

Persistent link: https://www.econbiz.de/10003687936

Estimation of nonstationary nonparametric regression model with multiplicative structure

Chen, Likai; Smetanina, Ekaterina; Wu, Wei Biao - In: The econometrics journal 25 (2022) 1, pp. 176-214

Persistent link: https://www.econbiz.de/10012878905

Testing for parameter change epochs in GARCH time series

Wang, Weining; Wu, Wei Biao; Richter, Stefan - 2021

We develop a uniform test for detecting and dating the integrated or mildly explosive behaviour of a strictly stationary generalized autoregressive conditional heteroskedasticity (GARCH) process. Namely, we test the null hypothesis of a globally stable GARCH process with constant parameters...

Persistent link: https://www.econbiz.de/10013238351

Time-varying multivariate causal processes

Gao, Jiti; Peng, Bin; Wu, Wei Biao; Yan, Yayi - 2022

Persistent link: https://www.econbiz.de/10013494365

Testing for parameter change epochs in GARCH time series

Richter, Stefan; Wang, Weining; Wu, Wei Biao - In: The econometrics journal 26 (2023) 3, pp. 467-491

Persistent link: https://www.econbiz.de/10014391712

Nonparametric inference of discretely sampled stable Lévy processes

Zhao, Zhibiao; Wu, Wei Biao - In: Journal of econometrics 153 (2009) 1, pp. 83-92

Persistent link: https://www.econbiz.de/10003892656

Asymptotics of spectral density estimates

Liu, Weidong; Wu, Wei Biao - In: Econometric theory 26 (2010) 4, pp. 1218-1245

Persistent link: https://www.econbiz.de/10003993835

Local whittle estimation of fractional integration for nonlinear processes

Shao, Xiaofeng; Wu, Wei Biao - In: Econometric theory 23 (2007) 5, pp. 899-929

Persistent link: https://www.econbiz.de/10003549669

A limit theorem for quadratic forms and its applications

Wu, Wei Biao; Shao, Xiaofeng - In: Econometric theory 23 (2007) 5, pp. 930-951

Persistent link: https://www.econbiz.de/10003549673

Parametric specification test for nonlinear autoregressive models

Kim, Kun Ho; Zhang, Ting; Wu, Wei Biao - In: Econometric theory 31 (2015) 5, pp. 1078-1101

Persistent link: https://www.econbiz.de/10011545520

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