Nonlinearity and Temporal Dependence

Citations

Cited by:

1. Dong, Chaohua & Linton, Oliver, 2018. "Additive nonparametric models with time variable and both stationary and nonstationary regressors," Journal of Econometrics, Elsevier, vol. 207(1), pages 212-236.
   • Chaohua Dong & Oliver Linton, 2017. "Additive nonparametric models with time variable and both stationary and nonstationary regressions," CeMMAP working papers CWP59/17, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
2. Chen, Xiaohong & Fan, Yanqin, 2006. "Estimation of copula-based semiparametric time series models," Journal of Econometrics, Elsevier, vol. 130(2), pages 307-335, February.
   • Xiaohong Chen & Yanqin Fan, 2002. "Estimation of Copula-Based Semiparametric Time Series Models," Vanderbilt University Department of Economics Working Papers 0226, Vanderbilt University Department of Economics, revised Oct 2004.
   • Yanqin Fan & Xiaohong Chen, 2004. "Estimation of Copula-Based Semiparametric Time Series Models," Econometric Society 2004 Far Eastern Meetings 559, Econometric Society.
3. Nour Meddahi, 2002. "A theoretical comparison between integrated and realized volatility," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 17(5), pages 479-508.
   • Meddahi, N., 2001. "A Theoretical Comparison Between Integrated and Realized Volatilies," Cahiers de recherche 2001-26, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
   • MEDDAHI, Nour, 2001. "A Theoretical Comparison Between Integrated and Realized Volatilies," Cahiers de recherche 2001-26, Universite de Montreal, Departement de sciences economiques.
4. Kanaya, Shin, 2017. "Uniform Convergence Rates Of Kernel-Based Nonparametric Estimators For Continuous Time Diffusion Processes: A Damping Function Approach," Econometric Theory, Cambridge University Press, vol. 33(4), pages 874-914, August.
   • Shin Kanaya, 2015. "Uniform Convergence Rates of Kernel-Based Nonparametric Estimators for Continuous Time Diffusion Processes: A Damping Function Approach," CREATES Research Papers 2015-50, Department of Economics and Business Economics, Aarhus University.
5. Li, Jia & Phillips, Peter C. B. & Shi, Shuping & Yu, Jun, 2022. "Weak Identification of Long Memory with Implications for Inference," Economics and Statistics Working Papers 8-2022, Singapore Management University, School of Economics.
   • Jia Li & Peter C. B. Phillips & Shuping Shi & Jun Yu, 2022. "Weak Identification of Long Memory with Implications for Inference," Cowles Foundation Discussion Papers 2334, Cowles Foundation for Research in Economics, Yale University.
6. Bollerslev, Tim, 2001. "Financial econometrics: Past developments and future challenges," Journal of Econometrics, Elsevier, vol. 100(1), pages 41-51, January.
7. Bu, Ruijun & Hadri, Kaddour & Kristensen, Dennis, 2021. "Diffusion copulas: Identification and estimation," Journal of Econometrics, Elsevier, vol. 221(2), pages 616-643.
   • Ruijun Bu & Kaddour Hadri & Dennis Kristensen, 2018. "Diffusion Copulas: Identification and Estimation," CREATES Research Papers 2018-20, Department of Economics and Business Economics, Aarhus University.
   • Ruijun Bu & Kaddour Hadri & Dennis Kristensen, 2020. "Diffusion Copulas: Identification and Estimation," Papers 2005.03513, arXiv.org.
   • Ruijun Bu & Kaddour Hadri & Dennis Kristensen, 2018. "Diffusion Copulas: Identification and Estimation," Working Papers 20184, University of Liverpool, Department of Economics.
8. Demian Pouzo, 2015. "On the Non-Asymptotic Properties of Regularized M-estimators," Papers 1512.06290, arXiv.org, revised Oct 2016.
9. Tae-Hwan Kim & Christophe Muller, 2020. "Inconsistency transmission and variance reduction in two-stage quantile regression," Post-Print hal-02084505, HAL.
10. Diebold, Francis X. & Inoue, Atsushi, 2001. "Long memory and regime switching," Journal of Econometrics, Elsevier, vol. 105(1), pages 131-159, November.
    • Francis X. Diebold & Atsushi Inoue, 2000. "Long Memory and Regime Switching," NBER Technical Working Papers 0264, National Bureau of Economic Research, Inc.
11. Taisuke Otsu & Myung Hwan Seo, 2014. "Asymptotics for maximum score method under general conditions," STICERD - Econometrics Paper Series 571, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
12. Wolter, James Lewis, 2016. "Kernel estimation of hazard functions when observations have dependent and common covariates," Journal of Econometrics, Elsevier, vol. 193(1), pages 1-16.
13. Carrasco, Marine & Chernov, Mikhaël & Florens, Jean-Pierre & Ghysels, Eric, 2000. "Efficient Estimation of Jump Diffusions and General Dynamic Models with a Continuum of Moment Conditions," IDEI Working Papers 116, Institut d'Économie Industrielle (IDEI), Toulouse, revised 2002.
    • Eric Ghysels & Jean-Pierre Florens & Mikhail Chernov & Marine Carrasco, 2003. "Efficient Estimation of Jump Diffusions and General Dynamic Models with a Continuum of Moment Conditions," CIRANO Working Papers 2003s-02, CIRANO.
14. Chernov, Mikhail & Ronald Gallant, A. & Ghysels, Eric & Tauchen, George, 2003. "Alternative models for stock price dynamics," Journal of Econometrics, Elsevier, vol. 116(1-2), pages 225-257.
    • Chernov, Mikhail & Gallant, A. Ronald & Ghysels, Eric & Tauchen, George, 2002. "Alternative Models for Stock Price Dynamic," Working Papers 02-03, Duke University, Department of Economics.
    • Mikhail Chernov & A. Ronald Gallant & Eric Ghysels & George Tauchen, 2002. "Alternative Models for Stock Price Dynamics," CIRANO Working Papers 2002s-58, CIRANO.
15. Bayer, Christian & Rendall, Alan D. & Wälde, Klaus, 2019. "The invariant distribution of wealth and employment status in a small open economy with precautionary savings," Journal of Mathematical Economics, Elsevier, vol. 85(C), pages 17-37.
    • Christian Bayer & Alan D. Rendall & Klaus Wälde, 2018. "The Invariant Distribution of Wealth and Employment Status in a Small Open Economy with Precautionary Savings," CESifo Working Paper Series 7397, CESifo.
    • Christian Bayer & Alan Rendall & Klaus Wälde, 2018. "The Invariant Distribution of Wealth and Employment Status in a Small Open Economy with Precautionary Savings," Working Papers 1822, Gutenberg School of Management and Economics, Johannes Gutenberg-Universität Mainz.
16. Song, Yuping & Lin, Zhengyan, 2013. "Empirical likelihood inference for the second-order jump-diffusion model," Statistics & Probability Letters, Elsevier, vol. 83(1), pages 184-195.
17. Aït-Sahalia, Yacine & Park, Joon Y., 2016. "Bandwidth selection and asymptotic properties of local nonparametric estimators in possibly nonstationary continuous-time models," Journal of Econometrics, Elsevier, vol. 192(1), pages 119-138.
18. Brendan K. Beare, 2010. "Copulas and Temporal Dependence," Econometrica, Econometric Society, vol. 78(1), pages 395-410, January.
    • Beare, Brendan, 2008. "Copulas and Temporal Dependence," University of California at San Diego, Economics Working Paper Series qt2880q2jq, Department of Economics, UC San Diego.
    • Beare, Brendan K., 2009. "Copulas and Temporal Dependence," University of California at San Diego, Economics Working Paper Series qt87p829d4, Department of Economics, UC San Diego.
19. Kristensen, Dennis, 2011. "Semi-nonparametric estimation and misspecification testing of diffusion models," Journal of Econometrics, Elsevier, vol. 164(2), pages 382-403, October.
    • Dennis Kristensen, 2010. "Semi-Nonparametric Estimation and Misspecification Testing of Diffusion Models," Discussion Papers 10-10, University of Copenhagen. Department of Economics.
    • Dennis Kristensen, 2010. "Semi-Nonparametric Estimation and Misspecification Testing of Diffusion Models," CREATES Research Papers 2010-43, Department of Economics and Business Economics, Aarhus University.
20. Gagliardini, Patrick & Ronchetti, Diego, 2013. "Semi-parametric estimation of American option prices," Journal of Econometrics, Elsevier, vol. 173(1), pages 57-82.
21. Torben G. Andersen & Tim Bollerslev & Francis X. Diebold, 2002. "Parametric and Nonparametric Volatility Measurement," NBER Technical Working Papers 0279, National Bureau of Economic Research, Inc.
    • Torben G. Andersen & Tim Bollerslev & Francis X. Diebold, 2002. "Parametric and Nonparametric Volatility Measurement," Center for Financial Institutions Working Papers 02-27, Wharton School Center for Financial Institutions, University of Pennsylvania.
22. Meddahi, N., 2001. "An Eigenfunction Approach for Volatility Modeling," Cahiers de recherche 2001-29, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
    • Nour Meddahi, 2001. "An Eigenfunction Approach for Volatility Modeling," CIRANO Working Papers 2001s-70, CIRANO.
    • MEDDAHI, Nour, 2001. "An Eigenfunction Approach for Volatility Modeling," Cahiers de recherche 2001-29, Universite de Montreal, Departement de sciences economiques.
23. Demian Pouzo, 2024. "Maximal Inequalities for Empirical Processes under General Mixing Conditions with an Application to Strong Approximations," Papers 2402.11394, arXiv.org.
24. Dominique Guegan, 2005. "How can we Define the Concept of Long Memory? An Econometric Survey," Econometric Reviews, Taylor & Francis Journals, vol. 24(2), pages 113-149.
    • Dominique Guegan, 2005. "How can we define the concept of long memory ? An econometric survey," Post-Print halshs-00179343, HAL.
25. Nicolau João, 2011. "Purchasing Power Parity Analyzed from a Continuous-Time Model," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 15(3), pages 1-26, May.
26. Koo, Bonsoo & Linton, Oliver, 2010. "Semiparametric estimation of locally stationary diffusion models," LSE Research Online Documents on Economics 58186, London School of Economics and Political Science, LSE Library.
    • Bonsoo Koo & Oliver Linton, 2010. "Semiparametric Estimation of Locally Stationary Diffusion Models," STICERD - Econometrics Paper Series 551, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
27. Masayuki Hirukawa & Mari Sakudo, 2015. "Family of the generalised gamma kernels: a generator of asymmetric kernels for nonnegative data," Journal of Nonparametric Statistics, Taylor & Francis Journals, vol. 27(1), pages 41-63, March.
28. Timothy M. Christensen, 2015. "Nonparametric stochastic discount factor decomposition," CeMMAP working papers 24/15, Institute for Fiscal Studies.
29. Susanne M. Schennach, 2018. "Long Memory via Networking," Econometrica, Econometric Society, vol. 86(6), pages 2221-2248, November.
    • Susanne M. Schennach, 2013. "Long memory via networking," CeMMAP working papers 13/13, Institute for Fiscal Studies.
    • Susanne M. Schennach, 2018. "Long memory via networking," CeMMAP working papers CWP49/18, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
    • Susanne M. Schennach, 2013. "Long memory via networking," CeMMAP working papers CWP13/13, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
30. Timothy Christensen, 2014. "Nonparametric Stochastic Discount Factor Decomposition," Papers 1412.4428, arXiv.org, revised May 2017.
31. Kanaya, Shin, 2017. "Convergence Rates Of Sums Of Α-Mixing Triangular Arrays: With An Application To Nonparametric Drift Function Estimation Of Continuous-Time Processes," Econometric Theory, Cambridge University Press, vol. 33(5), pages 1121-1153, October.
    • Shin Kanaya, 2016. "Convergence rates of sums of a-mixing triangular arrays: with an application to non-parametric drift function estimation of continuous-time processes," CREATES Research Papers 2016-24, Department of Economics and Business Economics, Aarhus University.
    • Kanaya, Shin, 2016. "Convergence rates of sums of α-mixing triangular arrays : with an application to non-parametric drift function estimation of continuous-time processes," Discussion Paper Series 646, Institute of Economic Research, Hitotsubashi University.
    • Shin Kanaya, 2016. "Convergence rates of sums of α-mixing triangular arrays: with an application to non-parametric drift function estimation of continuous-time processes," KIER Working Papers 947, Kyoto University, Institute of Economic Research.
32. Kristensen, Dennis, 2010. "Pseudo-maximum likelihood estimation in two classes of semiparametric diffusion models," Journal of Econometrics, Elsevier, vol. 156(2), pages 239-259, June.
    • Dennis Kristensen, 2009. "Pseudo-Maximum Likelihood Estimation in Two Classes of Semiparametric Diffusion Models," CREATES Research Papers 2009-41, Department of Economics and Business Economics, Aarhus University.
33. Zu, Yang & Boswijk, H. Peter, 2017. "Consistent nonparametric specification tests for stochastic volatility models based on the return distribution," Journal of Empirical Finance, Elsevier, vol. 41(C), pages 53-75.
34. Carrasco, Marine & Chernov, Mikhail & Florens, Jean-Pierre & Ghysels, Eric, 2007. "Efficient estimation of general dynamic models with a continuum of moment conditions," Journal of Econometrics, Elsevier, vol. 140(2), pages 529-573, October.
35. Nicolau, João, 2011. "Purchasing Power Parity analyzed through a continuous-time version of the ESTAR model," Economics Letters, Elsevier, vol. 110(3), pages 182-185, March.
36. Meddahi, N., 2001. "A Theoretical Comparison Between Integrated and Realized Volatilies," Cahiers de recherche 2001-26, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
    • Nour Meddahi, 2001. "A Theoretical Comparison Between Integrated and Realized Volatilities," CIRANO Working Papers 2001s-71, CIRANO.
    • MEDDAHI, Nour, 2001. "A Theoretical Comparison Between Integrated and Realized Volatilies," Cahiers de recherche 2001-26, Universite de Montreal, Departement de sciences economiques.
37. Timothy M. Christensen, 2015. "Nonparametric stochastic discount factor decomposition," CeMMAP working papers CWP24/15, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
38. Zu, Yang, 2015. "Nonparametric specification tests for stochastic volatility models based on volatility density," Journal of Econometrics, Elsevier, vol. 187(1), pages 323-344.
39. James Wolter, 2015. "Kernel Estimation Of Hazard Functions When Observations Have Dependent and Common Covariates," Economics Series Working Papers 761, University of Oxford, Department of Economics.
40. Koo, Bonsoo & Linton, Oliver, 2012. "Estimation of semiparametric locally stationary diffusion models," Journal of Econometrics, Elsevier, vol. 170(1), pages 210-233.
41. Lu, Ye & Park, Joon Y., 2019. "Estimation of longrun variance of continuous time stochastic process using discrete sample," Journal of Econometrics, Elsevier, vol. 210(2), pages 236-267.
42. repec:cep:stiecm:/2014/571 is not listed on IDEAS
43. Zu, Y., 2015. "Consistent nonparametric specification tests for stochastic volatility models based on the return distribution," Working Papers 15/02, Department of Economics, City University London.