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A parametric approach to flexible nonlinear inference

Hamilton, James D. - In: Econometrica : journal of the Econometric Society, an … 69 (2001) 3, pp. 537-573

Persistent link: https://www.econbiz.de/10001580786

Unified inference for nonlinear factor models from panels with fixed and large time span

Andersen, Torben; Fusari, Nicola; Todorov, Viktor; … - In: Journal of econometrics 212 (2019) 1, pp. 4-25

Persistent link: https://www.econbiz.de/10012303860

Nonparametric correlation integral-based tests for linear and nonlinear stochastic processes

Matilla-García, Mariano; Ruiz Marín, Manuel; Dore, … - In: Decisions in economics and finance : DEF ; a journal of … 37 (2014) 1, pp. 181-193

Persistent link: https://www.econbiz.de/10010340239

Inference on consensus ranking of distributions

Kaplan, David M. - 2020

Persistent link: https://www.econbiz.de/10012390824

Specification testing in nonlinear time series with long-range dependence

Gao, Jiti; Wang, Qiying; Yin, Jiying - In: Econometric theory 27 (2011) 2, pp. 260-284

Persistent link: https://www.econbiz.de/10009310805

Simulation based inference in moving average models

Ghysels, Eric; Khalaf, Lynda; Vodounou, Cosmé - In: Annales d'économie et de statistique (2003), pp. 85-99

Persistent link: https://www.econbiz.de/10001771345

Inferences from cross-sectional, stochastic frontier models

Simar, Léopold; Wilson, Paul W. - In: Econometric reviews 29 (2010) 1, pp. 62-98

Persistent link: https://www.econbiz.de/10003943407

Expected a posteriori estimation in financial applications

Mazzoni, Thomas - 2008

Persistent link: https://www.econbiz.de/10015205693

Option calibration of exponential Lévy models : implementation and empirical results

Söhl, Jakob; Trabs, Mathias - 2012

Observing prices of European put and call options, we calibrate exponential Lévy models nonparametrically. We discuss the implementation of the spectral estimation procedures for Lévy models of finite jump activity as well as for self-decomposable Lévy models and improve these methods....

Persistent link: https://www.econbiz.de/10009502936

Expected a posteriori estimation in financial applications

Mazzoni, Thomas - 2008

Persistent link: https://www.econbiz.de/10003699961