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Escanciano, J. C.; Olmo, J. (2007)
Publisher: Department of Economics, City University London
Languages: English
Types: Book
Subjects: HB
  • The results below are discovered through our pilot algorithms. Let us know how we are doing!

    • 0.25 1 α)( 0.2 − f(F ε 0.15
    • 00 100 150 200 02/2000−11/2006 (weekly estimates) t n 2 e d li S danSn 1
    • Delgado, M.A. and Escanciano, J.C. (2006): \Nonparametric tests for conditional symmetry in dynamic models", forthcoming in Journal of Econometrics.
    • Durlauf, S.N. (1991): \Spectral Based Testing on the Martingale Hypothesis. "Journal of Econometrics, 50, 355-376.
    • Engle, R., Kroner, K. (1995): \Multivariate Simulataneous GARCH. "Econometric Theory, 11, 122-150.
    • Engle, R., Manganelli, S. (2004): \CAViaR: Conditional autoregressive Value-at-Risk by Regression quantiles. "Journal of Business and Economic Statistics, 22, 367-381.
    • Engle, R. (2002): \Dynamic Conditional Correlation- A Simple Class of Multivariate GARCH Models. "Journal of Business and Economic Statistics, 20, 339-350.
    • Shorack, G.R., Wellner, J.A. (1986): Empirical Processes with Applications to Statistics. New York: Wiley.
    • Van der Vaart, A.W. and Wellner, J.A. (1996): Weak Convergence and Empirical Processes: New York, Springer.
    • Wu,W.B. (2005): \On the Bahadur representation of sample quantiles for dependent sequences." Annals of Statistics, 33, 1934{1963
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