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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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Buffered autoregressive models with conditional heteroscedasticity : an application to exchange rates
Zhu, Ke; Li, Wai Keung; Yu, Philip L. H. - In: Journal of business & economic statistics : JBES ; a … 35 (2017) 4, pp. 528-542
Persistent link: https://www.econbiz.de/10011893733
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Financial volatility forecasting with range-based autoregressive volatility model
Li, Hongquan; Hong, Yongmiao - In: Finance research letters 8 (2011) 2, pp. 69-76
Persistent link: https://www.econbiz.de/10009301308
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Mildly Explosive Autoregression Under Stationary Conditional Heteroskedasticity
Arvanitis, Stelios - 2018
A limit theory is developed for mildly explosive autoregressions under stationary (weakly or strongly dependent …. These effects are cancelled out in least squares regression theory and thereby the Cauchy limit theory of Phillips and …
Persistent link: https://www.econbiz.de/10012927802
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Limit Theory for Explosive Autoregression Under Conditional Heteroskedasticity
Lee, Ji Hyung - 2017
This paper studies an explosive autoregression with conditionally heteroskedastic innovations. The asymptotic distributions of LS, GLS, t-statitiscs, heteroskedasticity-consistent t-statistics and GLS t-statistics are derived for nonstationary local-to-unity and mildly explosive roots, in which...
Persistent link: https://www.econbiz.de/10012950101
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Adaptive long memory testing under heteroskedasticity
Harris, David; Kew, Hsein - In: Econometric theory 33 (2017) 3, pp. 755-778
Persistent link: https://www.econbiz.de/10011810197
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Neural tests for conditional heteroskedasticity in ARCH-M models
Peretti, Christian de (contributor);  … - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 8 (2004) 3
Persistent link: https://www.econbiz.de/10002652224
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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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Testing for conditional heteroscedasticity in the components of inflation
Broto, Carmen; Ruiz, Esther - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 13 (2009) 2, pp. 1-28
Persistent link: https://www.econbiz.de/10009513588
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Testing for Conditional Heteroscedasticity in the Components of Inflation
Broto, Carmen - 2008
residuals to identify heteroscedastic components. We show that conditional heteroscedasticity truly present in the data can be … power to detect conditional heteroscedasticity. Furthermore, the proposed statistics can help to decide which component is … experiments. Finally, we use auxiliary residuals to detect conditional heteroscedasticity in monthly inflation series of eight …
Persistent link: https://www.econbiz.de/10012724002