Density and Conditional Distribution Based Specification Analysis
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More about this item
Keywords
multi-factor diffusion process; specification test; out-of-sample forecast; jump process; block bootstrap;All these keywords.
JEL classification:
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
- C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
NEP fields
This paper has been announced in the following NEP Reports:- NEP-ECM-2013-07-20 (Econometrics)
- NEP-FOR-2013-07-20 (Forecasting)
- NEP-RMG-2013-07-20 (Risk Management)
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