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Finite-sample distribution-free inference in linear median regressions under heteroscedasticity and non-linear dependence of unknown form
Coudin, Elise; Dufour, Jean-Marie - In: The econometrics journal 12 (2009), pp. 19-49
Persistent link: https://www.econbiz.de/10003876273
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Finite-sample distribution-free inference in linear median regression under heteroskedasticity and nonlinear dependence of unknown form
Coudin, Elise; Dufour, Jean-Marie - 2007
Persistent link: https://www.econbiz.de/10003656187
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Backtesting VaR models : the case of commodities
Shankar, Devesh; Bedi, Prateek; Agnihotri, Shalini; … - In: Business analyst : a refereed journal of Shri Ram … 38 (2017) 1, pp. 36-57
Persistent link: https://www.econbiz.de/10012212962
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A False Discovery Rate approach to optimal volatility forecasting model selection
Hassanniakalager, Arman; Baker, Paul L.; Platanakis, … - In: International journal of forecasting 40 (2024) 3, pp. 881-902
Persistent link: https://www.econbiz.de/10014547223
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Size distortions of the wild bootstrapped HCCME-based LM test for serial correlation in the presence of asymmetric conditional heteroskedasticity
Grobys, Klaus - In: Empirical economics : a journal of the Institute for … 48 (2015) 3, pp. 1189-1202
Persistent link: https://www.econbiz.de/10011304126
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A nonparametric goodness-of-fit-based test for conditional heteroskedasticity
Su, Liangjun; Ullah, Aman - In: Econometric theory 29 (2013) 1, pp. 187-212
Persistent link: https://www.econbiz.de/10009747860
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A model specification test for GARCH(1,1) processes
Leucht, Anne; Neumann, Michael H.; Kreiß, Jens-Peter - 2013
We provide a consistent specification test for GARCH(1,1) models based on a test statistic of Cramér-von Mises type. Since the limit distribution of the test statistic under the null hypothesis depends on unknown quantities in a complicated manner, we propose a model-based...
Persistent link: https://www.econbiz.de/10011490275
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Specification tests for GARCH processes
Cavaliere, Giuseppe; Perera, Indeewara; Rahbek, Anders - 2021
Persistent link: https://www.econbiz.de/10012627489
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A goodness-of-fit test for a class of autoregressive conditional duration models
Perera, Indeewara; Hidalgo, Javier; Silvapulle, Mervyn J. - In: Econometric reviews 35 (2016) 5/7, pp. 1111-1141
Persistent link: https://www.econbiz.de/10011591144
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Robust maximum entropy test for GARCH models based on a minimum density power divergence estimator
Kim, Byungsoo - In: Economics letters 162 (2018), pp. 93-97
Persistent link: https://www.econbiz.de/10011939772