Simultaneous Diagnostic Testing for Nonlinear Time Series Models with An Application to the U.S. Federal Fund Rate-Reference-Cited by-同舟云学术

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Simultaneous Diagnostic Testing for Nonlinear Time Series Models with An Application to the U.S. Federal Fund Rate

Published:2019-08-06 Issue:1 Volume:82 Page:235-255
ISSN:0305-9049
Container-title:Oxford Bulletin of Economics and Statistics
language:en
Short-container-title:Oxf Bull Econ Stat

Author:

Li Shuo¹,Guo Bin²,Tu Yundong³

Affiliation:

1. School of Statistics Tianjin University of Finance and Economics Tianjin 300222China

2. Center of Statistical Research and School of Statistics Southwestern University of Finance and Economics Chengdu China

3. Guanghua School of Management and Center for Statistical Science Peking University Beijing China

Funder

National Natural Science Foundation of China

Publisher

Wiley

Subject

Statistics, Probability and Uncertainty,Economics and Econometrics,Social Sciences (miscellaneous),Statistics and Probability

Link

https://onlinelibrary.wiley.com/doi/pdf/10.1111/obes.12329

Reference39 articles.

1. Testing Continuous-Time Models of the Spot Interest Rate

2. Transition Densities for Interest Rate and Other Nonlinear Diffusions

3. Nonparametric Transition-Based Tests for Jump Diffusions

4. The Pricing of Options and Corporate Liabilities

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