All Outputs (2)

A note on the asymptotic normality of the kernel deconvolution density estimator with logarithmic chi-square noise (2015)
Journal Article
Zu, Y. (2015). A note on the asymptotic normality of the kernel deconvolution density estimator with logarithmic chi-square noise. Econometrics, 3(3), 561-576. https://doi.org/10.3390/econometrics3030561

© 2015 by the author; licensee MDPI, Basel, Switzerland. This paper studies the asymptotic normality for the kernel deconvolution estimator when the noise distribution is logarithmic chi-square; both identical and independently distributed observatio... Read More about A note on the asymptotic normality of the kernel deconvolution density estimator with logarithmic chi-square noise.

Nonparametric specification tests for stochastic volatility models based on volatility density (2015)
Journal Article
Zu, Y. (2015). Nonparametric specification tests for stochastic volatility models based on volatility density. Journal of Econometrics, 187(1), 323-344. https://doi.org/10.1016/j.jeconom.2015.02.045

© 2015 Elsevier B.V. This paper develops a specification test for stochastic volatility models by comparing the nonparametric kernel deconvolution density estimator of an integrated volatility density with its parametric counterpart. L2 distance is u... Read More about Nonparametric specification tests for stochastic volatility models based on volatility density.