We propose a new class of specification tests for Autoregressive Conditional Duration (ACD) models. Both linear and nonlinear ACD models are covered, and standardized innovations can have time-varying conditional dispersion and higher order conditional moments of unknown form. No specific...

Volatility models have been playing an important role in economics and finance. Using a multivariate generalized spectral approach, we propose a new class of generally applicable omnibus tests for univariate and multivariate volatility models. Both GARCH models and stochastic volatility models...

Economic theories in time series contexts usually have implications on and only on the conditional mean dynamics of underlying economic variables. We propose a new class of specification tests for time series conditional mean models, where the dimension of the conditioning information set may be...

Economic theories in time series contexts usually have implications on and only on the conditional mean dynamics of underlying economic variables. We propose a new class of specification tests for time series conditional mean models, where the dimension of the conditioning information set may be...

We propose a new class of specification tests for Autoregressive Conditional Duration (ACD) models. Both linear and nonlinear ACD models are covered, and standardized innovations can have time-varying conditional dispersion and higher order conditional moments of unknown form. No specific...