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Asymptotic distribution-free diagnostic tests for heteroskedastic time series models

Escanciano, J. Carlos - 2009

Persistent link: https://www.econbiz.de/10003989601

Asymptotic distribution-free diagnostic tests for heteroskedastic time series models

Escanciano, J. Carlos - In: Econometric theory 26 (2010) 3, pp. 744-773

Persistent link: https://www.econbiz.de/10003992428

Joint and marginal specification tests for conditional mean and variance models

Escanciano, J. Carlos - In: Journal of econometrics 143 (2008) 1, pp. 74-87

Persistent link: https://www.econbiz.de/10003722592

On the lack of power of omnibus specification tests

Escanciano, J. Carlos - In: Econometric theory 25 (2009) 1, pp. 162-194

Persistent link: https://www.econbiz.de/10003816221

Backtesting parametric value-at-risk with estimation risk

Escanciano, J. Carlos; Olmo, Jose - In: Journal of business & economic statistics : JBES ; a … 28 (2010) 1, pp. 36-51

Persistent link: https://www.econbiz.de/10003992793

Nonparametric tests for conditional symmetry in dynamic models

Delgado, Miguel A.; Escanciano, J. Carlos - In: Journal of econometrics 141 (2007) 2, pp. 652-682

Persistent link: https://www.econbiz.de/10003571335

Generalized spectral tests for the martingale difference hypothesis

Escanciano, J. Carlos; Velasco, Carlos - In: Journal of econometrics 134 (2006) 1, pp. 151-185

Persistent link: https://www.econbiz.de/10003368420

Robust backtesting tests for value-at-risk models

Escanciano, J. Carlos; Olmo, Jose - In: Journal of financial econometrics : official journal of … 9 (2011) 1, pp. 132-161

Persistent link: https://www.econbiz.de/10009125151

An automatic Portmanteau test for serial correlation

Escanciano, J. Carlos; Lobato, Ignacio N. - In: Journal of econometrics 151 (2009) 2, pp. 140-149

Persistent link: https://www.econbiz.de/10003877949

GENERALIZED SPECTRAL TESTS FOR THE MARTINGALE DIFFERENCE HYPOTHESIS

Escanciano, J. Carlos; Velasco, Carlos - Departamento de Estadistica, Universidad Carlos III de … - 2003

This article proposes a test for the Martingale Difference Hypothesis (MDH) using dependence measures related to the characteristic function. The MDH typically has been tested using the sample autocorrelations or in the spectral domain using the periodogram. Tests based on these statistics are...

Persistent link: https://www.econbiz.de/10005249593