| Publication | Date of Publication | Type |
|---|
Estimating and testing for smooth structural changes in moment condition models
Journal of Econometrics | 2025-01-16 | Paper |
Post-averaging inference for optimal model averaging estimator in generalized linear models
Econometric Reviews | 2024-08-12 | Paper |
Regularized GMM for time-varying models with applications to asset pricing
International Economic Review | 2024-07-15 | Paper |
Yongmiao Hong, Oliver Linton, Jiajing Sun, and Meiting Zhu's contribution to the discussion of `the Discussion Meeting on Probabilistic and statistical aspects of machine learning'
Journal of the Royal Statistical Society. Series B. Statistical Methodology | 2024-07-09 | Paper |
Fast estimation of a large TVP-VAR model with score-driven volatilities
Journal of Economic Dynamics and Control | 2024-06-17 | Paper |
Time-varying forecast combination for factor-augmented regressions with smooth structural changes
Journal of Econometrics | 2024-03-21 | Paper |
Kolmogorov-Smirnov type testing for structural breaks: a new adjusted-range based self-normalization approach
Journal of Econometrics | 2024-02-13 | Paper |
Specification tests for time-varying coefficient models
Journal of Econometrics | 2023-06-29 | Paper |
Penalized time-varying model averaging
Journal of Econometrics | 2023-06-29 | Paper |
ON MULTIPLE STRUCTURAL BREAKS IN DISTRIBUTION: AN EMPIRICAL CHARACTERISTIC FUNCTION APPROACH
Econometric Theory | 2023-06-13 | Paper |
Forecasting interval-valued crude oil prices using asymmetric interval models
Quantitative Finance | 2022-11-18 | Paper |
Adjusted-range self-normalized confidence interval construction for censored dependent data
Economics Letters | 2022-11-16 | Paper |
Estimating functions and derivatives via adaptive penalized splines
Communications in Statistics. Simulation and Computation | 2022-06-21 | Paper |
A score statistic for testing the presence of a stochastic trend in conditional variances
Economics Letters | 2022-04-20 | Paper |
Forecasting crude oil price intervals and return volatility via autoregressive conditional interval models
Econometric Reviews | 2022-03-09 | Paper |
Time-varying model averaging
Journal of Econometrics | 2021-05-04 | Paper |
Solving Euler equations via two-stage nonparametric penalized splines
Journal of Econometrics | 2021-05-04 | Paper |
Foundations of modern econometrics. A unified approach
| 2020-04-02 | Paper |
A model-free consistent test for structural change in regression possibly with endogeneity
Journal of Econometrics | 2019-07-01 | Paper |
Diagnostic checking for the adequacy of nonlinear time series models
Econometric Theory | 2018-12-21 | Paper |
An improved generalized spectral test for conditional mean models in time series with conditional heteroskedasticity of unknown form
Econometric Theory | 2018-12-21 | Paper |
Analysis of crisis impact on crude oil prices: a new approach with interval time series modelling
Quantitative Finance | 2018-11-13 | Paper |
Threshold autoregressive models for interval-valued time series data
Journal of Econometrics | 2018-10-12 | Paper |
Adaptive penalized splines for data smoothing
Computational Statistics and Data Analysis | 2018-08-14 | Paper |
On diagnostic checking autoregressive conditional duration models with wavelet-based spectral density estimators
Advances in Time Series Methods and Applications | 2017-07-31 | Paper |
Generalized spectral testing for multivariate continuous-time models
Journal of Econometrics | 2016-08-12 | Paper |
Detecting for smooth structural changes in GARCH models
Econometric Theory | 2016-07-29 | Paper |
Granger causality in risk and detection of extreme risk spillover between financial markets
Journal of Econometrics | 2016-07-04 | Paper |
Validating forecasts of the joint probability density of bond yields: can affine models beat random walk?
Journal of Econometrics | 2016-06-10 | Paper |
Can the random walk model be beaten in out-of-sample density forecasts? Evidence from intraday foreign exchange rates
Journal of Econometrics | 2016-05-27 | Paper |
A unified approach to validating univariate and multivariate conditional distribution models in time series
Journal of Econometrics | 2014-08-07 | Paper |
Detecting misspecifications in autoregressive conditional duration models and non-negative time-series processes
Journal of Time Series Analysis | 2014-06-16 | Paper |
Testing for smooth structural changes in time series models via nonparametric regression
Econometrica | 2013-11-06 | Paper |
A loss function approach to model specification testing and its relative efficiency
The Annals of Statistics | 2013-09-25 | Paper |
Testing for the Markov property in time series
Econometric Theory | 2012-03-29 | Paper |
Characteristic function-based testing for multifactor continuous-time Markov models via nonparametric regression
Econometric Theory | 2010-08-13 | Paper |
Some recent developments in nonparametric finance
Advances in Econometrics | 2010-06-30 | Paper |
Information spillovers among global refined products markets -- an empirical study based on the CCF method and cointegration theory
| 2009-11-11 | Paper |
Has Chinese Stock Market Become Efficient? Evidence from a New Approach
Lecture Notes in Computer Science | 2008-09-30 | Paper |
Central limit theorems for generalizedU-statistics with applications in nonparametric specification
Journal of Nonparametric Statistics | 2008-04-10 | Paper |
Asymptotic Distribution Theory for Nonparametric Entropy Measures of Serial Dependence
Econometrica | 2006-10-24 | Paper |
Wavelet-Based Testing for Serial Correlation of Unknown Form in Panel Models
Econometrica | 2006-06-16 | Paper |
Generalized Spectral Tests for Conditional Mean Models in Time Series with Conditional Heteroscedasticity of Unknown Form
Review of Economic Studies | 2005-11-21 | Paper |
Testing for independence between two covariance stationary time series
Biometrika | 2004-01-20 | Paper |
scientific article; zbMATH DE number 1911753 (Why is no real title available?)
| 2003-05-18 | Paper |
Hypothesis Testing in Time Series via the Empirical Characteristic Function: A Generalized Spectral Density Approach
| 2002-07-30 | Paper |
Testing for serial correlation of unknown form using wavelet methods
Econometric Theory | 2001-12-16 | Paper |
Generalized Spectral Tests for Serial Dependence
Journal of the Royal Statistical Society Series B: Statistical Methodology | 2001-07-03 | Paper |
Consistent Testing for Serial Correlation of Unknown Form
Econometrica | 2001-05-17 | Paper |
A test for volatility spillover with application to exchange rates
Journal of Econometrics | 2001-01-01 | Paper |
Consistent Specification Testing Via Nonparametric Series Regression
Econometrica | 2000-08-02 | Paper |
One‐sided testing for conditional heteroskedasticity in time series models
Journal of Time Series Analysis | 2000-06-13 | Paper |
Testing for Pairwise Serial Independence Via the Empirical Distribution Function
Journal of the Royal Statistical Society Series B: Statistical Methodology | 1999-04-22 | Paper |
