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Bootstrapping the Portmanteau Tests in Weak Auto-Regressive Moving Average Models
16 references·6 citing·31 second hop
Bootstrapping the Portmanteau Tests in Weak Auto-Regressive Moving Average Models (2015)Bootstrapping the Portmanteau Tests in We…New Weighted Portmanteau Statistics for Time Series Goodness of Fit Testing (2012)New Weighted Portmanteau Stat…GARCH Models (2010)GARCH ModelsAn automatic Portmanteau test for serial correlation (2009)An automatic Portmanteau test…Analysis of Financial Time Series (2005)Analysis of Financial Time Se…Modelling daily Value-at-Risk using realized volatility and ARCH type models (2004)Modelling daily Value-at-Risk…MIXING AND MOMENT PROPERTIES OF VARIOUS GARCH AND STOCHASTIC VOLATILITY MODELS (2002)MIXING AND MOMENT PROPERTIES …Forecasting stock market volatility using (non-linear) Garch models (1996)Forecasting stock market vola…ON THE SQUARED RESIDUAL AUTOCORRELATIONS IN NON‐LINEAR TIME SERIES WITH CONDITIONAL HETEROSKEDASTICITY (1994)ON THE SQUARED RESIDUAL AUTOC…On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)On the Relation between the E…A long memory property of stock market returns and a new model (1993)A long memory property of sto…ARCH modeling in finance (1992)ARCH modeling in financeA Class of Nonlinear Arch Models (1992)A Class of Nonlinear Arch Mod…Heteroskedasticity in Stock Returns (1989)Heteroskedasticity in Stock R…Generalized autoregressive conditional heteroskedasticity (1986)Generalized autoregressive co…DIAGNOSTIC CHECKING ARMA TIME SERIES MODELS USING SQUARED‐RESIDUAL AUTOCORRELATIONS (1983)DIAGNOSTIC CHECKING ARMA TIME…Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Autoregressive Conditional He…Bootstrapping multivariate portmanteau tests for vector autoregressive models with weak assumptions on errors (2021)Bootstrapping multivariate po…A MAX-CORRELATION WHITE NOISE TEST FOR WEAKLY DEPENDENT TIME SERIES (2020)A MAX-CORRELATION WHITE NOISE…Strict stationarity testing and GLAD estimation of double autoregressive models (2019)Strict stationarity testing a…Non-standard inference for augmented double autoregressive models with null volatility coefficients (2019)Non-standard inference for au…The ZD-GARCH model: A new way to study heteroscedasticity (2017)The ZD-GARCH model: A new way…A HYBRID BOOTSTRAP APPROACH TO UNIT ROOT TESTS (2013)A HYBRID BOOTSTRAP APPROACH T…The Pricing of Options and Corporate Liabilities (1973)Multivariate Simultaneous Generalized ARCH (1995)Dynamic Conditional Correlation (2002)Time Series Analysis: Forecasting and Control (1977)Time Series Analysis: Forecasting and Control (1977)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Modeling and Forecasting Realized Volatility (2003)A Simple Approximate Long-Memory Model of Realized Volatility (2008)Introductory Econometrics for Finance (2008)Testing for Serial Correlation in Least-Squares Regression When Some of the Regressors are Lagged Dependent Variables (1970)Testing for Nonlinear Dependence in Daily Foreign Exchange Rates (1989)Chaos and Nonlinear Dynamics: Application to Financial Markets (1991)ARCH MODELS: PROPERTIES, ESTIMATION AND TESTING (1993)Modelling Financial Time Series (2007)Cryptocurrency market contagion: Market uncertainty, market complexity, and dynamic portfolios (2019)Return connectedness across asset classes around the COVID-19 outbreak (2020)Crude Oil futures contracts and commodity markets: New evidence from a TVP-VAR extended joint connectedness approach (2021)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)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)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Specification Tests in Econometrics (1978)Small Sample Bias in GMM Estimation of Covariance Structures (1994)An evaluation of volatility forecasting techniques (1996)Stock Returns and Volatility: Pricing the Short‐Run and Long‐Run Components of Market Risk (2008)Econometric Analysis of Cross Section and Panel Data (2001)The Cross‐Section of Volatility and Expected Returns (2006)THE EVOLUTION OF STOCK MARKET EFFICIENCY OVER TIME: A SURVEY OF THE EMPIRICAL LITERATURE (2010)Econophysics review: I. Empirical facts (2011)The impact of the Russian-Ukrainian war on global financial markets (2023)
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References

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  • 1982Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation20,684 cited
  • 1993On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks9,041 cited
  • 1992ARCH modeling in finance4,288 cited
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  • 1983DIAGNOSTIC CHECKING ARMA TIME SERIES MODELS USING SQUARED‐RESIDUAL AUTOCORRELATIONS1,124 cited
  • 2002MIXING AND MOMENT PROPERTIES OF VARIOUS GARCH AND STOCHASTIC VOLATILITY MODELS566 cited
  • 1989Heteroskedasticity in Stock Returns479 cited
  • 2012New Weighted Portmanteau Statistics for Time Series Goodness of Fit Testing453 cited
  • 1992A Class of Nonlinear Arch Models412 cited
  • 2004Modelling daily Value-at-Risk using realized volatility and ARCH type models399 cited
  • 1996Forecasting stock market volatility using (non-linear) Garch models394 cited
  • 2010GARCH Models325 cited
  • 1994ON THE SQUARED RESIDUAL AUTOCORRELATIONS IN NON‐LINEAR TIME SERIES WITH CONDITIONAL HETEROSKEDASTICITY

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285 cited
  • 2009An automatic Portmanteau test for serial correlation268 cited
  • Cited by

    • 2017The ZD-GARCH model: A new way to study heteroscedasticity36 cited
    • 2019Non-standard inference for augmented double autoregressive models with null volatility coefficients19 cited
    • 2020A MAX-CORRELATION WHITE NOISE TEST FOR WEAKLY DEPENDENT TIME SERIES19 cited
    • 2013A HYBRID BOOTSTRAP APPROACH TO UNIT ROOT TESTS18 cited
    • 2019Strict stationarity testing and GLAD estimation of double autoregressive models14 cited
    • 2021Bootstrapping multivariate portmanteau tests for vector autoregressive models with weak assumptions on errors9 cited