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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

Testing for Granger non-causality using the autoregressive metric

Di Iorio, Francesca; Triacca, Umberto - In: Economic modelling 33 (2013), pp. 120-125

Persistent link: https://www.econbiz.de/10010192026

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

Testing for Granger causality in large mixed-frequency VARs

Götz, Thomas B.; Hecq, Alain W. J.; Smeekes, Stephan - In: Journal of econometrics 193 (2016) 2, pp. 418-432

Persistent link: https://www.econbiz.de/10011704990

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 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

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

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

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