1 citations · 1 across the 2 of their papers we have counts for
3 papers
econ.EM2022★ 1 cited
A New Test for Market Efficiency and Uncovered Interest Parity
Richard T. Baillie, Francis X. Diebold, George Kapetanios +1
We suggest a new single-equation test for Uncovered Interest Parity (UIP) based on a dynamic regression approach. The method provides consistent and asymptotically efficient parame…
stat.ME2022
Bayesian estimation of the autocovariance of a model error in time series
Yoon Bae Jun, Chae Young Lim, Kun Ho Kim
Autocovariance of the error term in a time series model plays a key role in the estimation and inference for the model that it belongs to. Typically, some arbitrary parametric stru…
math.ST2016
Specification Test based on Convolution-type Distribution Function Estimates for Non-linear Auto-regressive Processes
Kun Ho Kim, Jiwoong Kim
The paper proposes a specification test based on two estimates of distribution function. One is the traditional kernel distribution function estimate and the other is a newly propo…