Artikel
A note on the asymptotic normality of the kernel deconvolution density estimator with logarithmic chi-square noise
- Sprache
-
Englisch
- Erschienen in
-
Journal: Econometrics; ISSN: 2225-1146; Volume: 3; Year: 2015; Issue: 3; Pages: 561-576
Bezug (was)
Wirtschaft
Estimation: General
Single Equation Models; Single Variables: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
Specific Distributions; Specific Statistics
Financial Econometrics
kernel deconvolution estimator
asymptotic normality
volatility density estimation
Estimation: General
Single Equation Models; Single Variables: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
Specific Distributions; Specific Statistics
Financial Econometrics
kernel deconvolution estimator
asymptotic normality
volatility density estimation
Beteiligte Personen und Organisationen
Zu, Yang
Basel: MDPI
Basel: MDPI
Erschienen
Basel: MDPI
- Rechteinformation
-
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft
- Letzte Aktualisierung
-
18.10.2021, 08:58 MESZ
Objekttyp
- Artikel
Beteiligte
- Zu, Yang
- Basel: MDPI
Entstanden
- Basel: MDPI
Ähnliche Objekte (12)
Volatility forecasting: Downside risk, jumps and leverage effect
A simple test for causality in volatility
Consistency of trend break point estimator with underspecified break number
Modeling autoregressive processes with moving-quantiles-implied nonlinearity
Selection criteria in regime switching conditional volatility models
Testing for a structural break in a spatial panel model
Forecasting value-at-risk under different distributional assumptions
Evolutionary sequential Monte Carlo samplers for change-point models
Jump variation estimation with noisy high frequency financial data via wavelets
The fundamental equation in tourism finance
Unit root tests: The role of the univariate models implied by multivariate time series
Asymmetry and leverage in conditional volatility models
Volatility forecasting: Downside risk, jumps and leverage effect
A simple test for causality in volatility
Consistency of trend break point estimator with underspecified break number
Modeling autoregressive processes with moving-quantiles-implied nonlinearity
Selection criteria in regime switching conditional volatility models
Testing for a structural break in a spatial panel model
Forecasting value-at-risk under different distributional assumptions
Evolutionary sequential Monte Carlo samplers for change-point models
Jump variation estimation with noisy high frequency financial data via wavelets
The fundamental equation in tourism finance
Unit root tests: The role of the univariate models implied by multivariate time series
Asymmetry and leverage in conditional volatility models
Volatility forecasting: Downside risk, jumps and leverage effect
A simple test for causality in volatility
Consistency of trend break point estimator with underspecified break number
Modeling autoregressive processes with moving-quantiles-implied nonlinearity
Selection criteria in regime switching conditional volatility models
Testing for a structural break in a spatial panel model
Forecasting value-at-risk under different distributional assumptions
Evolutionary sequential Monte Carlo samplers for change-point models
Jump variation estimation with noisy high frequency financial data via wavelets
The fundamental equation in tourism finance
Unit root tests: The role of the univariate models implied by multivariate time series