SZodixStudyAcademic Library
ShelvesOpen access
Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated
A bootstrapped spectral test for adequacy in weak ARMA models
16 references·0 citing·46 second hop
A bootstrapped spectral test for adequacy in weak ARMA models (2015)A bootstrapped spectral test for adequacy…GARCH Models: Structure, Statistical Inference and Financial Applications (2019)GARCH Models: Structure, Stat…Inference in VARs with conditional heteroskedasticity of unknown form (2015)Inference in VARs with condit…GARCH Models: Structure, Statistical Inference and Financial Applications (2014)GARCH Models: Structure, Stat…An automatic Portmanteau test for serial correlation (2009)An automatic Portmanteau test…Self-weighted and local quasi-maximum likelihood estimators for ARMA-GARCH/IGARCH models (2006)Self-weighted and local quasi…Analysis of Financial Time Series (2006)Analysis of Financial Time Se…Generalized spectral tests for the martingale difference hypothesis (2005)Generalized spectral tests fo…Diagnostic Checking in ARMA Models With Uncorrelated Errors (2005)Diagnostic Checking in ARMA M…Bootstrapping the Box–Pierce Q test: A robust test of uncorrelatedness (2005)Bootstrapping the Box–Pierce …Residual-Based Block Bootstrap for Unit Root Testing (2003)Residual-Based Block Bootstra…ASYMPTOTIC THEORY FOR A VECTOR ARMA-GARCH MODEL (2003)ASYMPTOTIC THEORY FOR A VECTO…MIXING AND MOMENT PROPERTIES OF VARIOUS GARCH AND STOCHASTIC VOLATILITY MODELS (2002)MIXING AND MOMENT PROPERTIES …Spectral tests of the martingale hypothesis under conditional heteroscedasticity (2000)Spectral tests of the marting…Forecasting stock market volatility using (non-linear) Garch models (1996)Forecasting stock market vola…Consistent Testing for Serial Correlation of Unknown Form (1996)Consistent Testing for Serial…Spectral based testing of the martingale hypothesis (1991)Spectral based testing of the…Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Forecasting Stock Market Volatility with Regime-Switching GARCH Models (2005)The directional volatility connectedness between crude oil and equity markets: New evidence from implied volatility indexes (2016)Genetic Algorithm-Optimized Long Short-Term Memory Network for Stock Market Prediction (2018)Stochastic Implications of the Life Cycle-Permanent Income Hypothesis: Theory and Evidence (1978)Autoregressive Conditional Skewness (1999)Conditional Skewness in Asset Pricing Tests (2000)Exchange-rate return predictability and the adaptive markets hypothesis: Evidence from major foreign exchange rates (2012)A Survey on Efficiency and Profitable Trading Opportunities in Cryptocurrency Markets (2019)The adaptive market hypothesis in the high frequency cryptocurrency market (2019)Time Series Regression with a Unit Root (1987)Stock Market Prices Do Not Follow Random Walks: Evidence from a Simple Specification Test (1988)Backtesting Parametric Value-at-Risk With Estimation Risk (2009)Testing Against General Autoregressive and Moving Average Error Models when the Regressors Include Lagged Dependent Variables (1978)Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation (1991)Unit Root Tests in ARMA Models with Data-Dependent Methods for the Selection of the Truncation Lag (1995)DIAGNOSTIC CHECKING FOR THE ADEQUACY OF NONLINEAR TIME SERIES MODELS (2003)Can the random walk model be beaten in out-of-sample density forecasts? Evidence from intraday foreign exchange rates (2007)Testing the Martingale Hypothesis (2009)Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances (1992)ARCH MODELS: PROPERTIES, ESTIMATION AND TESTING (1993)Efficient Tests of Nonstationary Hypotheses (1994)Backtesting Expected Shortfall: Accounting for Tail Risk (2016)Fear of the coronavirus and the stock markets (2020)Impact of COVID-19 on stock market efficiency: Evidence from developed countries (2021)Multivariate GARCH models: a surveyThe Pricing of Options and Corporate Liabilities (1973)Distribution of the Estimators for Autoregressive Time Series with a Unit Root (1979)Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)Modeling Ordered Choices (2010)THE EVOLUTION OF STOCK MARKET EFFICIENCY OVER TIME: A SURVEY OF THE EMPIRICAL LITERATURE (2010)Likelihood-Based Inference in Cointegrated Vector Autoregressive Models (1995)Maximum likelihood estimation of pure GARCH and ARMA-GARCH processes (2004)Correlations and volatility spillovers between oil prices and the stock prices of clean energy and technology companies (2011)Volatility spillovers between oil prices and stock sector returns: Implications for portfolio management (2011)Estimation of multivariate models for time series of possibly different lengths (2006)Copula–Based Models for Financial Time Series (2009)Modelling Nonlinear Economic Time Series (2010)Detecting instability in the volatility of carbon prices (2010)Bootstrap prediction intervals for linear, nonlinear and nonparametric autoregressions (2014)Forecasting Bitcoin risk measures: A robust approach (2019)On the Modeling of Financial Time Series (2014)GARCH Modelling of Cryptocurrencies (2017)Deep learning for decision making and the optimization of socially responsible investments and portfolio (2019)
this work references cited by second hop

References

  • 2006Analysis of Financial Time Series2,348 cited
  • 2003ASYMPTOTIC THEORY FOR A VECTOR ARMA-GARCH MODEL887 cited
  • 2002MIXING AND MOMENT PROPERTIES OF VARIOUS GARCH AND STOCHASTIC VOLATILITY MODELS566 cited
  • 2019GARCH Models: Structure, Statistical Inference and Financial Applications431 cited
  • 1996Forecasting stock market volatility using (non-linear) Garch models394 cited
  • 2009An automatic Portmanteau test for serial correlation268 cited
  • 2005Generalized spectral tests for the martingale difference hypothesis222 cited
  • 1996Consistent Testing for Serial Correlation of Unknown Form204 cited
  • 2014GARCH Models: Structure, Statistical Inference and Financial Applications191 cited
  • 1991Spectral based testing of the martingale hypothesis168 cited
  • 2005Diagnostic Checking in ARMA Models With Uncorrelated Errors164 cited
  • 2003Residual-Based Block Bootstrap for Unit Root Testing149 cited
  • 2006Self-weighted and local quasi-maximum likelihood estimators for ARMA-GARCH/IGARCH models144 cited
  • 2015Inference in VARs with conditional heteroskedasticity of unknown form140 cited
  • 2000Spectral tests of the martingale hypothesis under conditional heteroscedasticity

Only edges whose both ends are imported exist here. Widen the year window, or show the whole map. Back to the work

103 cited
  • 2005Bootstrapping the Box–Pierce Q test: A robust test of uncorrelatedness88 cited
  • Cited by

    No citing works inside the corpus for this window.