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Some asymptotic results on non-standard likelihood ratio tests, and Cox process modeling in finance

Szimayer, Alexander (contributor) - 2002 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10001758056

Nonparametric regression on latent covariates with an application to semiparametric GARCH-in-Mean models

Conrad, Christian; Mammen, Enno - 2008

kernel smoothing of the conditional mean function. An asymptotic theory for the resulting kernel estimator is developed and …

Persistent link: https://www.econbiz.de/10003747376

Modeling asset returns under time-varying semi-nonparametric distributions

León Valle, Ángel Manuel; Ñíguez, Trino-Manuel - In: Journal of banking & finance 118 (2020), pp. 1-18

Persistent link: https://www.econbiz.de/10012520880

High Dimensional Beta Test with High Frequency Data

Chen, Dachuan; Feng, Long; Mykland, Per A.; Zhang, Lan - 2022

This is the first paper about the high dimensional beta tests with high frequency financial data, which allowing that the number of regressors can be larger than the number of observations within each estimation block and can also grow to infinity in asymptotics. In this paper, the sum-type test...

Persistent link: https://www.econbiz.de/10013405238

Testing for ARCH in the presence of a possibly misspecified conditional mean

Lumsdaine, Robin L.; Ng, Serena - In: Journal of econometrics 93 (1999) 2, pp. 257-279

Persistent link: https://www.econbiz.de/10001406657

Testing for ARCH in the presence of addiative outliers

Dijk, Dick van; Franses, Philip Hans; Lucas, André - In: Journal of applied econometrics 14 (1999) 5, pp. 539-562

Persistent link: https://www.econbiz.de/10001421498

Adaptive testing in ARCH models

Linton, Oliver; Steigerwald, Douglas G. - In: Econometric reviews 19 (2000) 2, pp. 145-174

Persistent link: https://www.econbiz.de/10001483693

Testing for linear autoregressive dynamics under heteroskedasticity

Hafner, Christian M.; Herwartz, Helmut - 1999

Persistent link: https://www.econbiz.de/10001377688

Tests against inequality constraints when some nuisance parameters are present only under the alternative : test of ARCH in ARCH-M models

Beg, A. B. M. Rabiul A.; Silvapulle, Mervyn J.; … - In: Journal of business & economic statistics : JBES ; a … 19 (2001) 2, pp. 245-253

Persistent link: https://www.econbiz.de/10001568823

Testing for linear autoregressive dynamics under heteroskedasticity

Hafner, Christian M.; Herwartz, Helmut - In: The econometrics journal 3 (2000) 2, pp. 177-197

Persistent link: https://www.econbiz.de/10001546181