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The econometrics of stochastic volatility

Harvey, Andrew C.; Shephard, Neil G. - 1993

Persistent link: https://www.econbiz.de/10000865088

Alpha-stable x 2 consistent functional specification tests for stable domains under data dependence

Hill, Jonathan B. - 1999

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Index models with integrated time series

Chang, Yoosoon; Park, Joon Y. - In: Journal of econometrics 114 (2003) 1, pp. 73-106

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Statistical learning with time-varying parameters

McGough, Bruce - In: Macroeconomic dynamics 7 (2003) 1, pp. 119-139

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Confronting model misspecification in finance : tractable collections of scenario probability measures for robust financial optimization problems

Friedman, Craig - In: International journal of theoretical and applied finance 5 (2002) 1, pp. 33-54

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Reflecting uncertainty about economic theory when estimating consumer demand

Montgomery, Alan L. - In: Econometric models in marketing, (pp. 257-294). 2002

Persistent link: https://www.econbiz.de/10001657528

On the choice of functional form in stochastic frontier modeling

Giannakas, Kōnstantinos; Tran, Kien C.; Tzouvelekas, … - In: Empirical economics : a journal of the Institute for … 28 (2003) 1, pp. 75-100

Persistent link: https://www.econbiz.de/10001724094

Financial modelling with jump processes

Cont, Rama; Tankov, Peter - 2004

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Nonparametric specification testing for continuous-time models with applications to term structure of interest rates

Hong, Yongmiao; Li, Haitao - In: The review of financial studies 18 (2005) 1, pp. 37-84

Persistent link: https://www.econbiz.de/10002646532

Testing parameter constancy in unit root autoregressive models against continuous change

He, Changli (contributor); Sandberg, Rickard (contributor) - 2005 - [Elektronische Ressource], Rev. February 8, 2005

In this paper we derive tests for parameter constancy when the data generating process is non-stationary against the hypothesis that the parameters of the model change smoothly over time. To obtain the asymptotic distributions of the tests we generalize many theoretical results, as well as new...

Persistent link: https://www.econbiz.de/10002570513