Results 71 to 80 of about 355,029 (197)

Backtesting expectile: Disentangling unconditional coverage and independence properties

Risk Sciences
Under current regulations, financial institutions are required to estimate the daily Value-at-Risk (VaR) or Expected Shortfall (ES) of their trading positions. Despite being widely studied and adopted, both risk measures have theoretical limitations: VaR
Jesus Armando de Ita Solis, Yang Lu, Mélina Mailhot, Xiaochun Meng   +3 more
doaj   +1 more source

Multivariate tests of asset pricing: Simulation evidence from an emerging market [PDF]

The finite sample performance of the Wald, GMM and Likelihood Ratio (LR) tests of multivariate asset pricing tests have been investigated in several studies on the US financial markets. This paper extends this analysis in two important ways.
Don U.A. Galagedera, Javed Iqbal, Robert Brooks   +2 more
core  

Testing linear restrictions on cointegrating vectors Sizes and powers of Wald tests in finite samples [PDF]

, 1999
The Wald test for linear restrictions on cointegrating vectors is compared infinite samples using the Monte Carlo method. The Wald test within the vector error-correction based methods of Bewley et al.
Haug, Alfred A.
core   +1 more source

Complex Parameter Rao and Wald Tests for Assessing the Bandedness of a Complex-Valued Covariance Matrix

Signals
Banding the inverse of a covariance matrix has become a popular technique for estimating a covariance matrix from a limited number of samples. It is of interest to provide criteria to determine if a matrix is bandable, as well as to test the bandedness ...
Zhenghan Zhu
doaj   +1 more source

A Portmanteau Test for Serially Correlated Errors in Fixed Effects Models [PDF]

We propose a portmanteau test for serial correlation of the error term in a fixed effects model. The test is derived as a conditional Lagrange multiplier test, but it also has a straightforward Wald test interpretation.
Atsushi Inoue, Gary Solon
core  

Adaptive Detection of Range-distributed Targets in Weighted Generalized Inverse Gaussian Clutter

Leida xuebao
In this paper, we investigate the adaptive detection of range-distributed targets in compound-Gaussian clutter, where the texture component follows a Weighted Generalized Inverse Gaussian (WGIG) distribution.
Zhenyu XU, Weijian LIU, Xiaolong CHEN, Hui CHEN, Qinglei DU, Binbin LI, Bilei ZHOU   +6 more
doaj   +1 more source

Sieve Inference on Semi-nonparametric Time Series Models [PDF]

The method of sieves has been widely used in estimating semiparametric and nonparametric models. In this paper, we first provide a general theory on the asymptotic normality of plug-in sieve M estimators of possibly irregular functionals of semi ...
Xiaohong Chen, Yixiao Sun, Zhipeng Liao
core  

Heteroskedasticity Testing Through Comparison of Wald-Type Statistics [PDF]

A test for heteroskedasticity within the context of classical linear regression can be based on the difference between Wald statistics in heteroskedasticity-robust and nonrobust forms.
Esmeralda Ramalho, Joaquim Ramalho, José Murteira   +2 more
core  

Maximum Likelihood and the Bootstrap for Nonlinear Dynamic Models [PDF]

We provide a unified framework for analyzing bootstrapped extremum estimators of nonlinear dynamic models for heterogeneous dependent stochastic processes.
Halbert White, Sílvia Gonçalves
core  

Wald Tests of I(1) against I(d) alternatives : some new properties and an extension to processes with trending components [PDF]

This paper analyses the power properties, under fixed alternatives, of a Wald-type test, i.e., the (Efficient) Fractional Dickey-Fuller (EFDF) test of I(1) against I(d ...
Jesús Gonzalo, Juan Jose Dolado, Laura Mayoral   +2 more
core   +3 more sources