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Time-varying autoregressive distributed lag model with changing volatility for stress test

Zhou, Leilei; Zhu, Wei - In: Journal of risk management in financial institutions 14 (2020/2021) 2, pp. 195-208

Persistent link: https://www.econbiz.de/10012613982

Nonparametric tests for jump detection via false discovery rate control : a Monte Carlo study

Li, Kaiqiao; He, Kan; Nie, Lizhou; Zhu, Wei; Kuan, Pei Fen - In: The journal of risk model validation 13 (2019) 3, pp. 23-44

Persistent link: https://www.econbiz.de/10012140256

Measuring the information content of disclosures : the role of return noise

Thomas, Jacob K.; Zhang, X. Frank; Zhu, Wei - In: The accounting review : a publication of the American … 97 (2022) 6, pp. 417-443

Persistent link: https://www.econbiz.de/10013499362

Estimation of integrated volatility in continuous time financial models with applications to goodness-of-fit testing

Vetter, Mathias; Podolskij, Mark; Dette, Holger - 2004

Properties of a specification test for the parametric form of the variance function in diffusion processes dXt = b (t,Xt) dt + sigma (t,Xt) dWt are discussed. The test is based on the estimation of certain integrals of the volatility function. If the volatility function does not depend on the...

Persistent link: https://www.econbiz.de/10010296615