Nonparametric model validations for hidden Markov models with applications in financial econometrics
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CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Hui, Yongchang & Wong, Wing-Keung & Bai, Zhidong & Zhu, Zhenzhen, 2016.
"A New Nonlinearity Test to Circumvent the Limitation of Volterra Expansion with Applications,"
75216, University Library of Munich, Germany.
- Hui, Yongchang & Wong, Wing-Keung & BAI, ZHIDONG & Zhu, Zhen-Zhen, 2017. "A New Nonlinearity Test to Circumvent the Limitation of Volterra Expansion with Application," MPRA Paper 79692, University Library of Munich, Germany.
- Kim, Seonjin & Zhao, Zhibiao, 2014. "Specification test for Markov models with measurement errors," Journal of Multivariate Analysis, Elsevier, vol. 130(C), pages 118-133.
More about this item
KeywordsConfidence envelope Diffusion model Hidden Markov model Market microstructure noise Model validation Nonlinear time series Transition density Stochastic volatility;
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