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ArticleGeneralized runs tests for the IID hypothesis

Jin Seo Cho2011

Article2011

Generalized runs tests for the IID hypothesis

Jin Seo Cho · Halbert White

24 citations·0/0 files stored·Journal of Econometrics

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Financial Risk and Volatility Modeling Spatial and Panel Data Analysis Complex Systems and Time Series Analysis

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References

1965The Behavior of Stock-Market Prices 1993Tests for Parameter Instability and Structural Change With Unknown Change Point 1998Evaluating Density Forecasts with Applications to Financial Risk Management 1980An Empirical Model of Labor Supply in a Life Cycle Setting 1986Intertemporal Substitution in Labor Supply: Evidence from Micro Data 2005Estimation and model selection of semiparametric copula-based multivariate dynamic models under copula misspecification 1999Hypothesis Testing in Time Series via the Empirical Characteristic Function: A Generalized Spectral Density Approach 1991Consistent Nonparametric Entropy-Based Testing

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Year2011

Typearticle

Published2011-02-13

VenueJournal of Econometrics

ISSN-L0304-4076

Languageen

Citations24

Files0 public / 0

ShelfFinancial Risk and Volatility Modeling

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doi10.1016/j.jeconom.2011.02.001

openalex_workW1990428057

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