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Realized wavelet-based estimation of integrated variance and jumps in the presence of noise

Barunik, Jozef; Vácha, Lukáš - 2014

-frequency domain. Using smooth wavelets and Maximum Overlap Discrete Wavelet Transform, we allow for the decomposition of the realized …

Persistent link: https://www.econbiz.de/10010407510

Long memory in stock returns : an analysis using a wavelet based semi-parametric estimator

Bhandari, Avishek - In: The empirical economics letters : a monthly … 17 (2018) 2, pp. 167-176

Persistent link: https://www.econbiz.de/10011912845

Efficiency of the V-fold model selection for localized bases

Navarro, Fabien; Saumard, Adrien - 2017

Persistent link: https://www.econbiz.de/10012200011

Wavelet analysis of change-points in a non-parametric regression with heteroscedastic variance

Zhou, Yong; Wan, Alan T. K.; Xie, Shangyu; Wang, Xiaojing - In: Journal of econometrics 159 (2010) 1, pp. 183-201

Persistent link: https://www.econbiz.de/10008839929

A nonparametric goodness-of-fit-based test for conditional heteroskedasticity

Su, Liangjun; Ullah, Aman - In: Econometric theory 29 (2013) 1, pp. 187-212

Persistent link: https://www.econbiz.de/10009747860

Finite-sample distribution-free inference in linear median regressions under heteroscedasticity and non-linear dependence of unknown form

Coudin, Elise; Dufour, Jean-Marie - In: The econometrics journal 12 (2009), pp. 19-49

Persistent link: https://www.econbiz.de/10003876273

A Consistent Heteroskedasticity Robust LM Type Specification Test for Semiparametric Models

Korolev, Ivan - 2019

This paper develops a consistent heteroskedasticity robust Lagrange Multiplier (LM) type specification test for semiparametric conditional mean models. Consistency is achieved by turning a conditional moment restriction into a growing number of unconditional moment restrictions using series...

Persistent link: https://www.econbiz.de/10012862378

Is U.S. real output growth really non-normal? : testing distributional assumptions in time-varying location-scale models

Demetrescu, Matei; Kruse-Becher, Robinson - 2021

Persistent link: https://www.econbiz.de/10012620758

Kernel-based testing with skewed and heavy-tailed data : evidence from a nonparametric test for heteroskedasticity

Henderson, Daniel J.; Sheehan, Alice - In: Economics letters 172 (2018), pp. 8-11

Persistent link: https://www.econbiz.de/10012022060

Inference on the long-memory properties of time series with non-stationary volatility

Demetrescu, Matei; Sibbertsen, Philipp - In: Economics letters 144 (2016), pp. 80-84

Persistent link: https://www.econbiz.de/10011617209