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A nonparametric test of a strong leverage hypothesis

descriptionPublicationkeyboard_double_arrow_right Report , Article , Research , Preprint 01 Jul 2013 Taiwan Publisher:Institute for Fiscal StudiesJournal:Journal of Econometrics, volume 194, pages 153-186 (issn: 0304-4076, Copyright policy )
Authors: Oliver Linton; Yoon-Jae Whang; Yu-Min Yen;

doi: 10.1920/wp.cem.2013.2813 , 10.1016/j.jeconom.2016.02.018

handle: 10419/79535

A nonparametric test of a strong leverage hypothesis

Abstract

zbMATH Open Web Interface contents unavailable due to conflicting licenses.

Country
Taiwan
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Keywords

Applications of statistics to actuarial sciences and financial mathematics, ddc:330, leverage effect, distribution function; leverage effect; gaussian process, Time series, auto-correlation, regression, etc. in statistics (GARCH), C14, Distribution function, C15, Leverage effect, Gaussian Process, distribution function, Gaussian process, Nonparametric hypothesis testing, Leverage Effect, jel: jel:C14, jel: jel:C15

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    selected citations
    These citations are derived from selected sources.
    This is an alternative to the "Influence" indicator, which also reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).
    		 7
    popularity
    This indicator reflects the "current" impact/attention (the "hype") of an article in the research community at large, based on the underlying citation network.
    		 Average
    influence
    This indicator reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).
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    impulse
    This indicator reflects the initial momentum of an article directly after its publication, based on the underlying citation network.
    		 Average
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selected citations
These citations are derived from selected sources.
This is an alternative to the "Influence" indicator, which also reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).
BIP!Citations provided by BIP!
popularity
This indicator reflects the "current" impact/attention (the "hype") of an article in the research community at large, based on the underlying citation network.
BIP!Popularity provided by BIP!
influence
This indicator reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).
BIP!Influence provided by BIP!
impulse
This indicator reflects the initial momentum of an article directly after its publication, based on the underlying citation network.
BIP!Impulse provided by BIP!
7
Average
Average
Average
bronze