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math.ST2017
Goodness-of-Fit Testing for Copulas: A Distribution-Free Approach
Sami Umut Can, John H. J. Einmahl, Roger J. A. Laeven
Consider a random sample from a continuous multivariate distribution function with copula . In order to test the null hypothesis that belongs to a certain parametric fam…
math.ST2017
Dependent Microstructure Noise and Integrated Volatility Estimation from High-Frequency Data
Z. Merrick Li, Roger J. A. Laeven, Michel H. Vellekoop
In this paper, we develop econometric tools to analyze the integrated volatility of the efficient price and the dynamic properties of microstructure noise in high-frequency data un…