A Consistent Test for the Parametric Specification of the Hazard Function
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- Andrew Patton & Yanqin Fan & Xiaohong Chen, 2004.
"Simple Tests for Models of Dependence Between Multiple Financial Time Series, with Applications to U.S. Equity Returns and Exchange Rates,"
wp04-19, Warwick Business School, Finance Group.
- Chen, Xiaohong & Fan, Yanqin & Patton, Andrew J., 2004. "Simple tests for models of dependence between multiple financial time series, with applications to U.S. equity returns and exchange rates," LSE Research Online Documents on Economics 24681, London School of Economics and Political Science, LSE Library.
- Yanqin Fan & Xiaohong Chen & Andrew Patton, 2004. "(IAM Series No 003) Simple Tests for Models of Dependence Between Multiple Financial Time Series, with Applications to U.S. Equity Returns and Exchange Rates," FMG Discussion Papers dp483, Financial Markets Group.
More about this item
KeywordsConsistent test; Hazard rate; Random censoring; Kernel estimation; Boundary kernel;
- C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
- C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection
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