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A new bootstrap test for the validity of a set of marginal models for multiple dependent time series : an application to risk analysis

Ardia, David; Gatarek, Lukasz; Hoogerheide, Lennart F. - 2014

A novel simulation-based methodology is proposed to test the validity of a set of marginal time series models, where the dependence structure between the time series is taken "directly" from the observed data. The procedure is useful when one wants to summarize the test results for several time...

Persistent link: https://www.econbiz.de/10010250513

Individual forecaster perceptions of the persistence of shocks to GDP

Clements, Michael P. - In: Journal of applied econometrics 37 (2022) 3, pp. 640-656

Persistent link: https://www.econbiz.de/10013186706

Granger causality from exchange rates to fundamentals : what does the bootstrap test show us?

Ko, Hsiu-Hsin; Ōgaki, Masao - In: International review of economics & finance : IREF 38 (2015), pp. 198-206

Persistent link: https://www.econbiz.de/10011572350

A new bootstrap test for multiple assets joint risk testing

Ardia, David; Gatarek, Lukasz; Hoogerheide, Lennart - In: Journal of risk 19 (2016/2017) 4, pp. 1-22

Persistent link: https://www.econbiz.de/10011710231

A unified test for predictability of asset returns regardless of properties of predicting variables

Liu, Xiaohui; Yang, Bingduo; Cai, Zongwu; Peng, Liang - In: Journal of econometrics 208 (2019) 1, pp. 141-159

Persistent link: https://www.econbiz.de/10012139823

Inference for the tail index of a GARCH(1,1) model and an AR(1) model with ARCH(1) errors

Zhang, Rongmao; Li, Chenxue; Peng, Liang - In: Econometric reviews 38 (2019) 2, pp. 151-169

Persistent link: https://www.econbiz.de/10012180711

A new test on asset return predictability with structural breaks

Cai, Zongwu; Chang, Seong Yeon - 2022

Persistent link: https://www.econbiz.de/10012888261

A new test of asset return predictability with an unstable predictor

Chang, Seong Yeon - In: Economics letters 196 (2020), pp. 1-5

Persistent link: https://www.econbiz.de/10012510680

Unified inference for an AR process regardless of finite or infinite variance GARCH errors

Huang, Haitao; Leng, Xuan; Liu, Xiaohui; Peng, Liang - In: Journal of financial econometrics 18 (2020) 2, pp. 425-470

Persistent link: https://www.econbiz.de/10012232977

On empirical likelihood option pricing

Zhong, Xiaolong; Cao, Jie; Jin, Yong; Zheng, Wei - In: Journal of risk 19 (2017) 5, pp. 41-53

Persistent link: https://www.econbiz.de/10011747102