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Generalized spectral tests for the martingale difference hypothesis
Escanciano, J. Carlos; Velasco, Carlos - In: Journal of econometrics 134 (2006) 1, pp. 151-185
Persistent link: https://www.econbiz.de/10003368420
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GENERALIZED SPECTRAL TESTS FOR THE MARTINGALE DIFFERENCE HYPOTHESIS
Escanciano, J. Carlos; Velasco, Carlos - Departamento de Estadistica, Universidad Carlos III de … - 2003
This article proposes a test for the Martingale Difference Hypothesis (MDH) using dependence measures related to the characteristic function. The MDH typically has been tested using the sample autocorrelations or in the spectral domain using the periodogram. Tests based on these statistics are...
Persistent link: https://www.econbiz.de/10005249593
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Asymptotic distribution-free diagnostic tests for heteroskedastic time series models
Escanciano, J. Carlos - 2009
Persistent link: https://www.econbiz.de/10003989601
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Asymptotic distribution-free diagnostic tests for heteroskedastic time series models
Escanciano, J. Carlos - In: Econometric theory 26 (2010) 3, pp. 744-773
Persistent link: https://www.econbiz.de/10003992428
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Joint and marginal specification tests for conditional mean and variance models
Escanciano, J. Carlos - In: Journal of econometrics 143 (2008) 1, pp. 74-87
Persistent link: https://www.econbiz.de/10003722592
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On the lack of power of omnibus specification tests
Escanciano, J. Carlos - In: Econometric theory 25 (2009) 1, pp. 162-194
Persistent link: https://www.econbiz.de/10003816221
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A consistent diagnostic test for regression models using projections
Escanciano, J. Carlos - In: Econometric theory 22 (2006) 6, pp. 1030-1051
Persistent link: https://www.econbiz.de/10003396934
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Backtesting parametric value-at-risk with estimation risk
Escanciano, J. Carlos; Olmo, Jose - In: Journal of business & economic statistics : JBES ; a … 28 (2010) 1, pp. 36-51
Persistent link: https://www.econbiz.de/10003992793
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Nonparametric tests for conditional symmetry in dynamic models
Delgado, Miguel A.; Escanciano, J. Carlos - In: Journal of econometrics 141 (2007) 2, pp. 652-682
Persistent link: https://www.econbiz.de/10003571335
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Robust backtesting tests for value-at-risk models
Escanciano, J. Carlos; Olmo, Jose - In: Journal of financial econometrics : official journal of … 9 (2011) 1, pp. 132-161
Persistent link: https://www.econbiz.de/10009125151