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An Improved Generalized Spectral Test For Conditional Mean Models In Time Series With ...
Dynamic economic theories generalized spectral derivative model misspecifications
2011/4/2
Dynamic economic theories usually have implications on and only on the conditional mean dynamics of economic processes. Using a generalized spectral derivative approach, Hong and Lee (2005, Review of ...
Estimation and Hedging Effectiveness of Time-Varying Hedge Ratio: Flexible Bivariate GARCH Approaches
conditional variance Hedging performance hedge ratios
2011/4/2
Bollerslev’s (1990) constant conditional correlation (CCC) and Engle’s (2002) dynamic conditional correlation (DCC) bivariate generalized autoregressive conditional heteroskedasticity (BGARCH) models ...
Characteristic Function-Based Testing for Multifactor Continuous-Time Markov Models via Nonparametric Regression
Characteristic Function Markov models conditional distribution
2011/4/2
We develop a nonparametric regression-based goodness-of-fit test for multifactor continuous-time Markov models using the conditional characteristic function, which often has a convenient closed form o...
Testing for the Markov Property in Time Series
Conditional characteristic function Generalized cross-spectrum Markov property Smoothed nonparametric bootstrap
2011/4/1
The Markov property is a fundamental property in time series analysis and is often assumed in economic and …nancial modelling. We develop a new test for the Markov property using the conditional chara...
Detecting Misspecifications in Autoregressive Conditional Duration Models and Non-negative Time-series Processes
Autoregressive conditional duration dispersion clustering finite sample correction generalized spectral derivative nonlinear time series parameter estimation uncertainty Wooldridge’s Device
2011/4/1
We develop a general theory to test correct specification of multiplicative error models of non-negative time-series processes, which include the popular autoregressive conditional duration (ACD) mode...
Characteristic Function-Based Testing for Multifactor Continuous-Time Markov Models via Nonparametric Regression
nonparametric regression economics and finance easy-to-interpret diagnostic procedures
2011/4/1
We develop a nonparametric regression-based goodness-of-fit test for multifactor continuous-time Markov models using the conditional characteristic function, which often has a convenient closed form o...
Functional-coefficient models for nonstationary time series data
Nonstationary Nonlinearity Semiparametric estimation
2011/4/2
This paper studies functional coefficient regression models with nonstationary time series data, allowing also for stationary covariates. A local linear fitting scheme is developed to estimate the coe...
Characteristic Function-Based Testing for Multifactor Continuous-Time Markov Models via Nonparametri
Conditional characteristic function Goodness-of-fit Multifactor continuous-time Markov model Nonparametric regression
2011/4/2
We develop a nonparametric regression-based goodness-of-fit test for multifactor continuous-time Markov models using the conditional characteristic function, which often has a convenient closed-form o...
A Simulation Test for Continuous-Time Models
Continuous-time model Dynamic probability integral transform Generalized residuals Monte Carlo integration Simulation Transition density
2011/4/6
In this article, we propose a simulation method to implement Hong and Li’s (2005) transition density based test for continuous-time models. The idea is to simulate a sequence of dynamic probability in...
Generalized Spectral Tests for Conditional Mean Models in Time Series with Conditional...
Economic theories underlying economic variables nuisance parameter free
2011/4/2
Economic theories in time series contexts usually have implications on and only on the conditional mean dynamics of underlying economic variables. We propose a new class of specification tests for tim...