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Testing for the martingale difference hypothesis in multivariate time series models
Wang, Guochang
;
Zhu, Ke
;
Shao, Xiaofeng
- In:
Journal of business & economic statistics : JBES ; a …
40
(
2022
)
3
,
pp. 980-994
Persistent link: https://www.econbiz.de/10013539404
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Sign-based portmanteau test for ARCH-type models with heavy-tailed innovations
Chen, Min
;
Zhu, Ke
- In:
Journal of econometrics
189
(
2015
)
2
,
pp. 313-320
Persistent link: https://www.econbiz.de/10011504541
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Model checks for nonlinear cointegrating regression
Wang, Qiying
;
Wu, Dongsheng
;
Zhu, Ke
- In:
Journal of econometrics
207
(
2018
)
2
,
pp. 261-284
Persistent link: https://www.econbiz.de/10012116349
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