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Asymptotic Distribution Theory for Nonparametric Entropy Measures of Serial Dependence
9 references·16 citing·39 second hop
Asymptotic Distribution Theory for Nonparametric Entropy Measures of Serial Dependence (2005)Asymptotic Distribution Theory for Nonpar…Journal of Economic Dynamics and Control (2013)Journal of Economic Dynamics …Conditional volatility, skewness, and kurtosis: existence, persistence, and comovements (2003)Conditional volatility, skewn…Entropy and predictability of stock market returns (2002)Entropy and predictability of…Hypothesis Testing in Time Series via the Empirical Characteristic Function: A Generalized Spectral Density Approach (1999)Hypothesis Testing in Time Se…Evaluating Density Forecasts with Applications to Financial Risk Management (1998)Evaluating Density Forecasts …A test for independence based on the correlation dimension (1996)A test for independence based…Autoregressive Conditional Density Estimation (1994)Autoregressive Conditional De…Asymptotic Theory for the Garch(1,1) Quasi-Maximum Likelihood Estimator (1994)Asymptotic Theory for the Gar…Consistent Nonparametric Entropy-Based Testing (1991)Consistent Nonparametric Entr…Statistical Dependence: Beyond Pearson’s ρ (2022)Statistical Dependence: Beyon…Density tourism demand forecasting revisited (2019)Density tourism demand foreca…Asymmetry in Stock Comovements: An Entropy Approach (2018)Asymmetry in Stock Comovement…Model-Free vs. Model-Based Volatility Prediction (2015)Model-Free vs. Model-Based Vo…Testing Serial Independence via Density-Based Measures of Divergence (2013)Testing Serial Independence v…Nonparametric Copula-Based Test for Conditional Independence with Applications to Granger Causality (2012)Nonparametric Copula-Based Te…International market links and volatility transmission (2012)International market links an…TESTING FOR THE MARKOV PROPERTY IN TIME SERIES (2011)TESTING FOR THE MARKOV PROPER…Generalized runs tests for the IID hypothesis (2011)Generalized runs tests for th…Nonparametric Entropy-Based Tests of Independence Between Stochastic Processes (2009)Nonparametric Entropy-Based T…A non-parametric spatial independence test using symbolic entropy (2009)A non-parametric spatial inde…A non-parametric independence test using permutation entropy (2008)A non-parametric independence…Characterizations of joint distributions, copulas, information, dependence and decoupling, with applications to time series (2006)Characterizations of joint di…A versatile and robust metric entropy test of time-reversibility, and other hypotheses (2006)A versatile and robust metric…A Dependence Metric for Possibly Nonlinear Processes (2004)A Dependence Metric for Possi…Nonparametric Specification Testing for Continuous-Time Models with Application to Spot Interest Rates (2002)Nonparametric Specification T…Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)Analysis of Financial Time Series (2006)Introductory Econometrics for Finance (2008)ARCH modeling in finance (1992)Quadratic ARCH Models (1995)Maximum likelihood estimation of pure GARCH and ARMA-GARCH processes (2004)A multiple indicators model for volatility using intra-daily data (2005)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Optimal Portfolio Allocation under Higher Moments (2006)International asset allocation under regime switching, skew, and kurtosis preferences (2008)Granger causality in risk and detection of extreme risk spillover between financial markets (2009)The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis (1989)An Introduction to Copulas (1999)Mutual information: a measure of dependency for nonlinear time series (2004)Growth and convergence: A profile of distribution dynamics and mobility (2006)On the spatial stickiness of UK new firm formation rates (2013)Estimating Time Varying Risk Premia in the Term Structure: The Arch-M Model (1987)Modeling and pricing long memory in stock market volatility (1996)The econometrics of financial markets (1996)GENERALIZED AUTOREGRESSIVE SCORE MODELS WITH APPLICATIONS (2012)The Econometrics of Financial Markets (1997)The Econometrics of Financial Markets (2012)Visualising forecasting algorithm performance using time series instance spaces (2017)DIAGNOSTIC CHECKING ARMA TIME SERIES MODELS USING SQUARED‐RESIDUAL AUTOCORRELATIONS (1983)Can Rare Events Explain the Equity Premium Puzzle? 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this work references cited by second hop

References

  • 1996A test for independence based on the correlation dimension3,526 cited
  • 1994Autoregressive Conditional Density Estimation1,580 cited
  • 1998Evaluating Density Forecasts with Applications to Financial Risk Management1,452 cited
  • 2013Journal of Economic Dynamics and Control864 cited
  • 1994Asymptotic Theory for the Garch(1,1) Quasi-Maximum Likelihood Estimator617 cited
  • 2003Conditional volatility, skewness, and kurtosis: existence, persistence, and comovements558 cited
  • 2002Entropy and predictability of stock market returns293 cited
  • 1999Hypothesis Testing in Time Series via the Empirical Characteristic Function: A Generalized Spectral Density Approach240 cited
  • 1991Consistent Nonparametric Entropy-Based Testing235 cited

Cited by

  • 2004A Dependence Metric for Possibly Nonlinear Processes247 cited
  • 2008A non-parametric independence test using permutation entropy114 cited
  • 2012Nonparametric Copula-Based Test for Conditional Independence with Applications to Granger Causality77 cited
  • 2009A non-parametric spatial independence test using symbolic entropy63 cited
  • 2006A versatile and robust metric entropy test of time-reversibility, and other hypotheses59 cited

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2018
Asymmetry in Stock Comovements: An Entropy Approach
55 cited
  • 2006Characterizations of joint distributions, copulas, information, dependence and decoupling, with applications to time series53 cited
  • 2011TESTING FOR THE MARKOV PROPERTY IN TIME SERIES48 cited
  • 2002Nonparametric Specification Testing for Continuous-Time Models with Application to Spot Interest Rates47 cited
  • 2012International market links and volatility transmission35 cited
  • 2022Statistical Dependence: Beyond Pearson’s ρ34 cited
  • 2009Nonparametric Entropy-Based Tests of Independence Between Stochastic Processes33 cited
  • 2019Density tourism demand forecasting revisited30 cited
  • 2015Model-Free vs. Model-Based Volatility Prediction26 cited
  • 2011Generalized runs tests for the IID hypothesis24 cited
  • 2013Testing Serial Independence via Density-Based Measures of Divergence21 cited