A nonparametric test of the leverage hypothesis
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References listed on IDEAS
- Linton, Oliver & Song, Kyungchul & Whang, Yoon-Jae, 2010.
"An improved bootstrap test of stochastic dominance,"
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Elsevier, pages 186-202.
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- Oliver Linton & Kyungchul Song & Yoon-Jae Whang, 2009. "An Improved Bootstrap Test of Stochastic Dominance," Cowles Foundation Discussion Papers 1713, Cowles Foundation for Research in Economics, Yale University.
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"Econometrics of Testing for Jumps in Financial Economics Using Bipower Variation,"
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More about this item
KeywordsDistribution Function; Leverage Effect; Gaussian Process;
- C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
- C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Statistical Simulation Methods: General
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