Search results
Results: 17
Number of items: 17
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Diks, C., Panchenko, V., & van Dijk, D. (2008). Out-of-sample comparison of copula specifications in multivariate density forecasts. (CeNDEF working papers; No. 08-10). Afdeling Kwantitatieve Economie. http://www1.fee.uva.nl/cendef/publications/papers/cendef_wp_0810.pdf
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Diks, C., Panchenko, V., & van Dijk, D. (2008). Partial likelihood-based scoring rules for evaluating density forecasts in tails. (CeNDEF working papers; No. 08-03). Afdeling Kwantitatieve Economie. http://www1.fee.uva.nl/cendef/publications/papers/wlr_cendef_wp.pdf
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Diks, C., & Panchenko, V. (2008). Rank-based entropy tests for serial independence. Studies in Nonlinear Dynamics and Econometrics, 12(1), 1-19. http://www.bepress.com/cgi/viewcontent.cgi?article=1476&context=snde -
Diks, C., & Panchenko, V. (2007). Nonparametric tests for serial independence based on quadratic forms. Statistica Sinica, 17(1), 81-98. http://www3.stat.sinica.edu.tw/statistica/
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Anufriev, M., & Panchenko, V. (2007). Asset prices, traders' behavior, and market design. (CeNDEF Working Paper Universiteit van Amsterdam; No. 07-14). Faculteit Economie en Bedrijfskunde. http://www1.fee.uva.nl/cendef/publications/papers/market-arch.pdf
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Diks, C. G. H., & Panchenko, V. (2006). A new statistic and practical guidelines for nonparametric Granger causality testing. Journal of Economic Dynamics & Control, 30(9-10), 1647-1669. https://doi.org/10.1016/j.jedc.2005.08.008
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