Similar Search Results

Nonlinear time series : nonparametric and parametric methods

Fan, Jianqing; Yao, Qiwei - 2005

Persistent link: https://www.econbiz.de/10002759942

Modelling multivariate volatilities via conditionally uncorrelated components

Fan, Jianqing (contributor); Wang, Mingjin (contributor); … - 2005

Persistent link: https://www.econbiz.de/10003164853

To how many simultaneous hypothesis test can normal, student's t or bootstrap calibration be applied?

Fan, Jianqing; Hall, Peter; Yao, Qiwei - In: Journal of the American Statistical Association : JASA 102 (2007) 480, pp. 1282-1288

Persistent link: https://www.econbiz.de/10003625873

Nonparametric function estimation involving errors-in-variables

Fan, Jianqing; Truong, Young K.; Wang, Yonghua - 1990

Persistent link: https://www.econbiz.de/10000833999

On the estimation of quadratic functions

Fan, Jianqing - 1989

Persistent link: https://www.econbiz.de/10000802614

Nonparametric regression with errors in variables

Fan, Jianqing; Truong, Young K. - 1990

Persistent link: https://www.econbiz.de/10000815083

Semiparametric estimation of value at risk

Fan, Jianqing; Gu, Juan - In: The econometrics journal 6 (2003) 2, pp. 261-290

Persistent link: https://www.econbiz.de/10001831243

Local polynominal kernel regression for generalized linear models and quasi-likelihood functions

Fan, Jianqing; Heckman, Nancy E.; Wand, M. P. - 1992

Persistent link: https://www.econbiz.de/10000848322

Dynamic nonparametric filtering with application to finance

Cheng, Ming-Yen; Fan, Jianqing; Spokojnyj, Vladimir G. - 2003

Persistent link: https://www.econbiz.de/10001790237

The Leverage Effect Puzzle : Disentangling Sources of Bias at High Frequency

Aït-Sahalia, Yacine - 2011

The leverage effect refers to the generally negative correlation between an asset return and its changes of volatility. A natural estimate consists in using the empirical correlation between the daily returns and the changes of daily volatility estimated from high-frequency data. The puzzle lies...

Persistent link: https://www.econbiz.de/10013118417