Finding cointegration rank in high dimensional systems using the Johansen test: An illustration...
- Published in:
- Review of Economics & Statistics, 1996, v. 78, n. 4, p. 726, doi. 10.2307/2109959
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- Article
Works matching DE "ASYMPTOTIC expansions"
Results: 5000
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2
TESTING THE CONVERGENCE HYPOTHESIS.
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- Review of Economics & Statistics, 1994, v. 76, n. 3, p. 576, doi. 10.2307/2109982
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- Article
3
CONFIDENCE INTERVAL FOR PREDICTIONS FROM A LOGARITHMIC MODEL.
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- Review of Economics & Statistics, 1984, v. 66, n. 3, p. 527, doi. 10.2307/1925016
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- Article
4
A NOTE ON THEIL'S MINIMUM STANDARD ERROR CRITERION WHEN THE DISTURBANCES ARE AUTOCORRELATED.
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- Review of Economics & Statistics, 1974, v. 56, n. 1, p. 122, doi. 10.2307/1927540
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5
Approximate Permutation Tests and Induced Order Statistics in the Regression Discontinuity Design.
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- Review of Economic Studies, 2018, v. 85, n. 3, p. 1577, doi. 10.1093/restud/rdx062
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- Article
6
Semiparametric Estimation of the Intercept of a Sample Selection Model.
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- Review of Economic Studies, 1998, v. 65, n. 3, p. 497, doi. 10.1111/1467-937x.00055
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- Article
7
Useful Modifications to some Unit Root Tests with Dependent Errors and their Local Asymptotic Properties.
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- Review of Economic Studies, 1996, v. 63, n. 3, p. 435, doi. 10.2307/2297890
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- Article
8
Control Variate Method for Deep BSDE Solver Using Weak Approximation.
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- Asia-Pacific Financial Markets, 2023, v. 30, n. 2, p. 273, doi. 10.1007/s10690-022-09374-8
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9
Asymptotic Expansion as Prior Knowledge in Deep Learning Method for High dimensional BSDEs.
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- Asia-Pacific Financial Markets, 2019, v. 26, n. 3, p. 391, doi. 10.1007/s10690-019-09271-7
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- Article
10
Perturbative Expansion Technique for Non-linear FBSDEs with Interacting Particle Method.
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- Asia-Pacific Financial Markets, 2015, v. 22, n. 3, p. 283, doi. 10.1007/s10690-015-9201-7
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- Article
11
Asymptotic Expansion Formula of Option Price Under Multifactor Heston Model.
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- Asia-Pacific Financial Markets, 2014, v. 21, n. 4, p. 351, doi. 10.1007/s10690-014-9189-4
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- Article
12
Asymptotic Expansion for Term Structures of Defaultable Bonds with Non-Gaussian Dependent Innovations.
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- Asia-Pacific Financial Markets, 2013, v. 20, n. 4, p. 311, doi. 10.1007/s10690-013-9169-0
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- Article
13
An Empirical Comparison of Two Stochastic Volatility Models using Indian Market Data.
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- Asia-Pacific Financial Markets, 2013, v. 20, n. 3, p. 243, doi. 10.1007/s10690-013-9166-3
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- Article
14
Pricing Exotic Options and American Options: A Multidimensional Asymptotic Expansion Approach.
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- Asia-Pacific Financial Markets, 2013, v. 20, n. 2, p. 147, doi. 10.1007/s10690-012-9163-y
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- Article
15
Pricing Discrete Barrier Options Under Stochastic Volatility.
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- Asia-Pacific Financial Markets, 2012, v. 19, n. 3, p. 205, doi. 10.1007/s10690-011-9147-3
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- Article
16
Pricing Derivatives using the Asymptotic Expansion Approach: Credit Migration Models with Stochastic Credit Spreads.
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- Asia-Pacific Financial Markets, 2011, v. 18, n. 4, p. 345, doi. 10.1007/s10690-010-9134-0
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- Article
17
Coefficients of Asymptotic Expansions of SDE with Jumps.
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- Asia-Pacific Financial Markets, 2010, v. 17, n. 4, p. 373, doi. 10.1007/s10690-009-9107-3
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- Article
18
An Asymptotic Expansion Approach to Currency Options with a Market Model of Interest Rates under Stochastic Volatility Processes of Spot Exchange Rates.
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- Asia-Pacific Financial Markets, 2007, v. 14, n. 1/2, p. 69, doi. 10.1007/s10690-007-9054-9
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- Article
19
A New Computational Scheme for Computing Greeks by the Asymptotic Expansion Approach.
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- Asia-Pacific Financial Markets, 2004, v. 11, n. 4, p. 393, doi. 10.1007/s10690-006-9020-y
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- Article
20
On Pricing Exponential Square Root Barrier Knockout European Options.
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- Asia-Pacific Financial Markets, 2002, v. 9, n. 1, p. 1, doi. 10.1023/A:1021107418014
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- Article
21
An Asymptotic Expansion Approach to Pricing Financial Contingent Claims.
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- Asia-Pacific Financial Markets, 1999, v. 6, n. 2, p. 115, doi. 10.1023/A:1010080610650
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- Article
22
Pricing Options under Stochastic Interest Rates: A New Approach.
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- Asia-Pacific Financial Markets, 1999, v. 6, n. 1, p. 49, doi. 10.1023/A:1010006525552
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- Publication type:
- Article
23
Asymptotic linear expansion of regularized M-estimators.
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- Annals of the Institute of Statistical Mathematics, 2022, v. 74, n. 1, p. 167, doi. 10.1007/s10463-021-00792-5
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- Article
24
Asymptotic properties of parallel Bayesian kernel density estimators.
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- Annals of the Institute of Statistical Mathematics, 2019, v. 71, n. 4, p. 771, doi. 10.1007/s10463-018-0662-0
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- Article
25
AIC for the non-concave penalized likelihood method.
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- Annals of the Institute of Statistical Mathematics, 2019, v. 71, n. 2, p. 247, doi. 10.1007/s10463-018-0649-x
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- Article
26
Frequentist model averaging for threshold models.
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- Annals of the Institute of Statistical Mathematics, 2019, v. 71, n. 2, p. 275, doi. 10.1007/s10463-017-0642-9
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- Article
27
An asymptotic expansion for the normalizing constant of the Conway-Maxwell-Poisson distribution.
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- Annals of the Institute of Statistical Mathematics, 2019, v. 71, n. 1, p. 163, doi. 10.1007/s10463-017-0629-6
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28
The limit distribution of weighted $$L^2$$ -goodness-of-fit statistics under fixed alternatives, with applications.
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- Annals of the Institute of Statistical Mathematics, 2017, v. 69, n. 5, p. 969, doi. 10.1007/s10463-016-0567-8
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- Article
29
Efficient ANOVA for directional data.
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- Annals of the Institute of Statistical Mathematics, 2017, v. 69, n. 1, p. 39, doi. 10.1007/s10463-015-0533-x
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- Article
30
Change-point model selection via AIC.
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- Annals of the Institute of Statistical Mathematics, 2015, v. 67, n. 5, p. 943, doi. 10.1007/s10463-014-0481-x
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31
Momentum-space approach to asymptotic expansion for stochastic filtering.
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- Annals of the Institute of Statistical Mathematics, 2014, v. 66, n. 1, p. 93, doi. 10.1007/s10463-013-0405-1
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32
Asymptotic Palm likelihood theory for stationary point processes.
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- Annals of the Institute of Statistical Mathematics, 2013, v. 65, n. 2, p. 387, doi. 10.1007/s10463-012-0376-7
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- Article
33
Loss of information of a statistic for a family of non-regular distributions, II: more general case.
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- Annals of the Institute of Statistical Mathematics, 2012, v. 64, n. 6, p. 1121, doi. 10.1007/s10463-011-0347-4
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34
The local power of the gradient test.
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- Annals of the Institute of Statistical Mathematics, 2012, v. 64, n. 2, p. 373, doi. 10.1007/s10463-010-0315-4
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35
Asymptotic normality of Powell's kernel estimator.
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- Annals of the Institute of Statistical Mathematics, 2012, v. 64, n. 2, p. 255, doi. 10.1007/s10463-010-0310-9
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- Article
36
The best EBLUP in the Fay-Herriot model.
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- Annals of the Institute of Statistical Mathematics, 2011, v. 63, n. 6, p. 1123, doi. 10.1007/s10463-010-0281-x
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- Article
37
Polynomial type large deviation inequalities and quasi-likelihood analysis for stochastic differential equations.
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- Annals of the Institute of Statistical Mathematics, 2011, v. 63, n. 3, p. 431, doi. 10.1007/s10463-009-0263-z
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- Article
38
Decompounding random sums: a nonparametric approach.
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- Annals of the Institute of Statistical Mathematics, 2010, v. 62, n. 5, p. 855, doi. 10.1007/s10463-008-0200-6
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- Article
39
Statistical estimation in partial linear models with covariate data missing at random.
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- Annals of the Institute of Statistical Mathematics, 2009, v. 61, n. 1, p. 47, doi. 10.1007/s10463-007-0137-1
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- Article
40
Limiting behavior of relative Rényi entropy in a non-regular location shift family.
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- Annals of the Institute of Statistical Mathematics, 2010, v. 62, n. 3, p. 547, doi. 10.1007/s10463-008-0182-4
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41
Recursive parameter estimation: asymptotic expansion.
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- Annals of the Institute of Statistical Mathematics, 2010, v. 62, n. 2, p. 343, doi. 10.1007/s10463-008-0179-z
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- Article
42
Merging of opinions in game-theoretic probability.
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- Annals of the Institute of Statistical Mathematics, 2009, v. 61, n. 4, p. 969, doi. 10.1007/s10463-007-0165-x
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- Article
43
Third-order asymptotic expansion of M-estimators for diffusion processes.
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- Annals of the Institute of Statistical Mathematics, 2009, v. 61, n. 3, p. 629, doi. 10.1007/s10463-008-0190-4
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- Article
44
Efficient and fast spline-backfitted kernel smoothing of additive models.
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- Annals of the Institute of Statistical Mathematics, 2009, v. 61, n. 3, p. 663, doi. 10.1007/s10463-007-0157-x
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45
Varying-coefficient model for the occurrence rate function of recurrent events.
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- Annals of the Institute of Statistical Mathematics, 2009, v. 61, n. 1, p. 197, doi. 10.1007/s10463-007-0129-1
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- Publication type:
- Article
46
A class of rank-based test for left-truncated and right-censored data.
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- Annals of the Institute of Statistical Mathematics, 2009, v. 61, n. 2, p. 461, doi. 10.1007/s10463-007-0151-3
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47
Nonparametric density estimation for linear processes with infinite variance.
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- Annals of the Institute of Statistical Mathematics, 2009, v. 61, n. 2, p. 413, doi. 10.1007/s10463-007-0149-x
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- Article
48
Generalized partially linear mixed-effects models incorporating mismeasured covariates.
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- Annals of the Institute of Statistical Mathematics, 2009, v. 61, n. 1, p. 27, doi. 10.1007/s10463-007-0146-0
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- Article
49
Maximum likelihood estimation in the proportional hazards cure model.
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- Annals of the Institute of Statistical Mathematics, 2008, v. 60, n. 3, p. 545, doi. 10.1007/s10463-007-0120-x
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50
Nonparametric inference for sequential k-out-of- n systems.
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- Annals of the Institute of Statistical Mathematics, 2008, v. 60, n. 3, p. 605, doi. 10.1007/s10463-007-0115-7
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- Article