SZodixStudyAcademic Library
ShelvesOpen access
Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated
Testing the martingale difference hypothesis using integrated regression functions
16 references·0 citing·44 second hop
Testing the martingale difference hypothesis using integrated regression functions (2006)Testing the martingale difference hypothe…The quantilogram: With an application to evaluating directional predictability (2007)The quantilogram: With an app…Generalized spectral tests for the martingale difference hypothesis (2005)Generalized spectral tests fo…Generalized Spectral Tests for Conditional Mean Models in Time Series with Conditional Heteroscedasticity of Unknown Form (2005)Generalized Spectral Tests fo…Testing the Martingale Difference Hypothesis (2003)Testing the Martingale Differ…Inference on Predictability of Foreign Exchange Rates via Generalized Spectrum and Nonlinear Time Series Models (2003)Inference on Predictability o…Spectral tests of the martingale hypothesis under conditional heteroscedasticity (2000)Spectral tests of the marting…Hypothesis Testing in Time Series via the Empirical Characteristic Function: A Generalized Spectral Density Approach (1999)Hypothesis Testing in Time Se…TESTING SERIAL INDEPENDENCE USING THE SAMPLE DISTRIBUTION FUNCTION (1996)TESTING SERIAL INDEPENDENCE U…Inference When a Nuisance Parameter Is Not Identified Under the Null Hypothesis (1996)Inference When a Nuisance Par…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…Testing for Nonlinear Dependence in Daily Foreign Exchange Rates (1989)Testing for Nonlinear Depende…On Fitting A Recalcitrant Series: The Pound/Dollar Exchange Rate, 1974- 83 (1988)On Fitting A Recalcitrant Ser…How Big Is the Random Walk in GNP? (1988)How Big Is the Random Walk in…Model specification testing of time series regressions (1984)Model specification testing o…Stochastic Implications of the Life Cycle-Permanent Income Hypothesis: Theory and Evidence (1978)Stochastic Implications of th…Distribution of the Estimators for Autoregressive Time Series with a Unit Root (1979)Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root (1981)Time to Build and Aggregate Fluctuations (1982)A Model of Growth Through Creative Destruction (1990)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Risks for the Long Run: A Potential Resolution of Asset Pricing Puzzles (2000)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)Asset Prices in an Exchange Economy (1978)Comparing Predictive Accuracy (1994)A Selective Overview of Nonparametric Methods in Financial Econometrics (2005)Chapter 3 Forecast Evaluation (2006)The Econometrics of Financial Markets (2012)Time Series Regression with a Unit Root (1987)Stock Market Prices Do Not Follow Random Walks: Evidence from a Simple Specification Test (1988)Diagnostic Checking in ARMA Models With Uncorrelated Errors (2005)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)Quantile Coherency: A General Measure for Dependence between Cyclical Economic VariablesAutoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Empirical exchange rate models of the seventies (1983)Generalized autoregressive conditional heteroskedasticity (1986)Nonparametric exchange rate prediction? (1990)Chaos and Nonlinear Dynamics: Application to Financial Markets (1991)Dynamic Equilibrium and the Real Exchange Rate in a Spatially Separated World (1992)The Econometrics of Financial Markets (1997)CAViaR (2004)Cross-quantilogram-based correlation and dependence between renewable energy stock and other asset classes (2019)Asymmetric relationship between green bonds and commodities: Evidence from extreme quantile approach (2021)Diversifier or more? Hedge and safe haven properties of green bonds during COVID-19 (2022)Trends and random walks in macroeconmic time series (1982)Testing for a Unit Root in Time Series Regression (1988)The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis (1989)Threshold effects in non-dynamic panels: Estimation, testing, and inference (1999)Sample Splitting and Threshold Estimation (2000)Introductory Econometrics for Finance (2008)
this work references cited by second hop

References

  • 1978Stochastic Implications of the Life Cycle-Permanent Income Hypothesis: Theory and Evidence3,581 cited
  • 1996Inference When a Nuisance Parameter Is Not Identified Under the Null Hypothesis2,282 cited
  • 1988How Big Is the Random Walk in GNP?1,270 cited
  • 1989Testing for Nonlinear Dependence in Daily Foreign Exchange Rates665 cited
  • 1999Hypothesis Testing in Time Series via the Empirical Characteristic Function: A Generalized Spectral Density Approach240 cited
  • 2005Generalized spectral tests for the martingale difference hypothesis222 cited
  • 2007The quantilogram: With an application to evaluating directional predictability215 cited
  • 1996Consistent Testing for Serial Correlation of Unknown Form204 cited
  • 2003Inference on Predictability of Foreign Exchange Rates via Generalized Spectrum and Nonlinear Time Series Models171 cited
  • 1991Spectral based testing of the martingale hypothesis168 cited
  • 1988On Fitting A Recalcitrant Series: The Pound/Dollar Exchange Rate, 1974- 83166 cited
  • 2005Generalized Spectral Tests for Conditional Mean Models in Time Series with Conditional Heteroscedasticity of Unknown Form130 cited
  • 2003Testing the Martingale Difference Hypothesis108 cited
  • 2000Spectral tests of the martingale hypothesis under conditional heteroscedasticity103 cited

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

  • 1996TESTING SERIAL INDEPENDENCE USING THE SAMPLE DISTRIBUTION FUNCTION91 cited
  • 1984Model specification testing of time series regressions89 cited
  • Cited by

    No citing works inside the corpus for this window.