Department of Statistical Science
414 Uris Hall
Ithaca, NY 14853-7601
Cornell University - Department of Economics
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density forecasts, eurodollar, GARCH, intraday exchange rate, jumps, maximum likelihood estimation, nonlinear time series, out-of-sample forecasts, regime-switching
Density forecasts, Diffusion model, GARCH, Generalized spectrum, Jumps, Out-of-sample forecasts, Nonlinear time series, Parameter estimation uncertainty, Regime-Switching, Short-term interest rate, Transition density
Boundary bias, Continuous-time model, Generalized residual, Hellinger metric, Kernel method, Parameter estimation uncertainty, Probability integral transform, Quadratic form, Short-term interest rate, Transition density
Density forecast, Affine term structure models, Probability integral transform, Financial risk management, Value-at-Risk, Fixed-income portfolio management
bootstrap, combined forecast, data snooping, directional forecast, functional-coefficient model, generalized spectral test, martingale, moving average technical trading rule, nonlinearity in mean, trading return
Affine jump diffusion model, Affine term structure model, Conditional characteristic function, Generalized cross-spectrum, Levy processes, Multivariate continuous-time model
Spot rate models, Term structure of interest rates, Market segmentation, Nonparametric specification tests
Autoregressive Conditional Duration, Dispersion Clustering, Finite Sample Correction, Generalized Spectral Derivative, Nonlinear Time Series, Parameter Estimation Uncertainty, Wooldridge's Device
Error component, Panel model, Hypothesis testing, Serial correlation of unknown form, Spectral peak, Unbalanced panel data, Wavelet
This is a Wiley-Blackwell Publishing paper. Wiley-Blackwell Publishing charges $38.00 .
File name: j-9892.
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Autoregressive conditional duration, dispersion clustering, finite sample correction, generalized spectral derivative, nonlinear time series, parameter estimation uncertainty, Wooldridge's Device
File name: j-2354.
Conditional characteristic function, Goodness-of-fit, Multifactor continuous-time Markov model, Nonparametric regression
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