Nonparametric Specification Testing of Conditional Asset Pricing Models
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Cites work
- A Conditional Kolmogorov Test
- An Adaptive, Rate-Optimal Test of a Parametric Mean-Regression Model Against a Nonparametric Alternative
- Bootstrap tests for simple structures in nonparametric time series regression
- Central limit theorem for degenerateU-Statistics of Absolutely Regular Processes with Applications to Model Specification Testing
- Central limit theorems for generalizedU-statistics with applications in nonparametric specification
- Common risk factors in the returns on stocks and bonds
- Comparing nonparametric versus parametric regression fits
- Efficient derivative pricing by the extended method of moments
- scientific article; zbMATH DE number 3973963 (Why is no real title available?)
- scientific article; zbMATH DE number 4024435 (Why is no real title available?)
- scientific article; zbMATH DE number 219575 (Why is no real title available?)
- Kernel-based testing with skewed and heavy-tailed data: evidence from a nonparametric test for heteroskedasticity
- Mixing: Properties and examples
- MULTIVARIATE LOCAL POLYNOMIAL REGRESSION FOR TIME SERIES:UNIFORM STRONG CONSISTENCY AND RATES
- Nonparametric covariance model
- Nonparametric smoothing and lack-of-fit tests
- Pricing kernel estimation: a local estimating equation approach
- Specification testing when the null is nonparametric or semiparametric
- Spurious inference in reduced-rank asset-pricing models
- UNIFORM CONVERGENCE RATES FOR KERNEL ESTIMATION WITH DEPENDENT DATA
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