A nonparametric test of a strong leverage hypothesis
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Publication:2630356
DOI10.1016/j.jeconom.2016.02.018zbMath1431.62480OpenAlexW1492458269MaRDI QIDQ2630356
Yu-Min Yen, Oliver B. Linton, Yoon-Jae Whang
Publication date: 27 July 2016
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: http://hdl.handle.net/10419/79535
Nonparametric hypothesis testing (62G10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05)
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