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Nonparametric specification testing for continuous-time models with application to spot interest rates. (2002). LI, HAITAO ; Hong, Yongmiao.
In: SFB 373 Discussion Papers.
RePEc:zbw:sfb373:200232.

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Cited: 27

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  1. .

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  2. Analysis of multidimensional probability distributions with copula functions. III. (2011). Fantazzini, Dean.
    In: Applied Econometrics.
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  3. Testable Implications of Affine Term Structure Models. (2011). Wu, Jing Cynthia ; Hamilton, James.
    In: NBER Working Papers.
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  4. Simultaneous Testing of Mean and Variance Structures in Nonlinear Time Series Models. (2010). GAO, Jiti ; Chen, Song ; Song Xi Chen, .
    In: School of Economics Working Papers.
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  5. Distribution and Dynamics of Central-European Exchange Rates: Evidence from Intraday Data. (2009). Bubak, Vit ; Ike, Filip.
    In: Czech Journal of Economics and Finance (Finance a uver).
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  6. Bias in the Estimation of the Mean Reversion Parameter in Continuous Time Models. (2009). Yu, Jun ; JunYu, .
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  7. Bias in the Estimation of the Mean Reversion Parameter in Continuous Time Models. (2008). Yu, Jun ; JunYu, .
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  8. Testing Distributional Assumptions: A GMM Approach. (2007). Meddahi, Nour ; Bontemps, Christian.
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  9. SV mixture models with application to S&P 500 index returns. (2007). Durham, Garland B..
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  10. Nonparametric Estimation and Misspecification Testing of Diffusion Models. (2007). Kristensen, Dennis.
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  11. A consistent bootstrap test for conditional density functions with time-series data. (2006). Tkacz, Greg ; Li, Fuchun.
    In: Journal of Econometrics.
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  12. Scanning Multivariate Conditional Densities with Probability Integral Transforms. (2005). Ishida, Isao.
    In: CIRJE F-Series.
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  13. Comments on “A Selective Overview of Nonparametric Methods in Financial Econometrics” by Jianqing Fan. (2005). Yu, Jun ; Phillips, Peter.
    In: Working Papers.
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  14. Goodness-of-fit tests for copulas. (2005). Fermanian, Jean-David.
    In: Journal of Multivariate Analysis.
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  15. Testing normality: a GMM approach. (2005). Meddahi, Nour ; Bontemps, Christian.
    In: Journal of Econometrics.
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  16. Comments on “A selective overview of nonparametric methods in financial econometricsâ€Â. (2005). Yu, Jun ; Phillips, Peter ; JunYu, ; Peter C. B. Phillips, .
    In: Finance Working Papers.
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  17. A Simple Approach to the Parametric Estimation of Potentially Nonstationary Diffusions. (2005). Phillips, Peter ; Bandi, Federico M..
    In: Cowles Foundation Discussion Papers.
    RePEc:cwl:cwldpp:1522.

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  18. Scanning Multivariate Conditional Densities with Probability Integral Transforms. (2005). Ishida, Isao.
    In: CARF F-Series.
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  19. Testing the Parametric Specification of the Diffusion Function in a Diffusion Process. (2005). Li, Fuchun.
    In: Staff Working Papers.
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  20. On the Small Sample Properties of Dickey Fuller and Maximum Likelihood Unit Root Tests on Discrete-Sampled Short-Term Interest Rates. (2004). Rodrigues, Paulo ; Rubia, Antonio.
    In: Econometrics.
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  21. ON THE SMALL SAMPLE PROPERTIES OF DICKEY FULLER AND MAXIMUM LIKELIHOOD UNIT ROOT TESTS ON DISCRETE-SAMPLED SHORT-TERM INTEREST RATES. (2004). Rodrigues, Paulo ; Rubia, Antonio ; Paulo M. M. Rodrigues, ; Paulo M. M. Rodrigues, ; Paulo M. M. Rodrigues, .
    In: Working Papers. Serie AD.
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  22. A semiparametric single-factor model of the term structure. (2004). Kristensen, Dennis.
    In: LSE Research Online Documents on Economics.
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  23. Simple tests for models of dependence between multiple financial time series, with applications to U.S. equity returns and exchange rates. (2004). Patton, Andrew ; Chen, Xiaohong ; Fan, Yanqin.
    In: LSE Research Online Documents on Economics.
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  24. Bootstrap Specification Tests for Diffusion Processes. (2003). Swanson, Norman ; Corradi, Valentina.
    In: Departmental Working Papers.
    RePEc:rut:rutres:200321.

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  25. Maximum likelihood estimation of time-inhomogeneous diffusions. (2003). LI, HAITAO ; Egorov, Alexei ; Xu, Yuewu .
    In: Journal of Econometrics.
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  26. Goodness of Fit Tests for Copulas. (2003). Fermanian, Jean-David.
    In: Working Papers.
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  27. An empirical likelihood goodness-of-fit test for time series. (2000). Härdle, Wolfgang ; Chen, Song ; Song Xi Chen, ; Hardle, Wolfgang ; Kleinow, Torsten .
    In: SFB 373 Discussion Papers.
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