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Nonparametric statistics for testing of linearity and serial independence
3 references·1 citing·16 second hop
Nonparametric statistics for testing of linearity and serial independence (1996)Nonparametric statistics for testing of l…Nonparametric Estimation and Identification of Nonlinear ARCH Time Series Strong Convergence and Asymptotic Normality: Strong Convergence and Asymptotic Normality (1995)Nonparametric Estimation and …Consistent Nonparametric Entropy-Based Testing (1991)Consistent Nonparametric Entr…Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Autoregressive Conditional He…Nonparametric Entropy-Based Tests of Independence Between Stochastic Processes (2009)Nonparametric Entropy-Based T…Generalized autoregressive conditional heteroskedasticity (1986)Nonlinear Dynamics, Chaos and Instability Statistical Theory and Economic Evidence. (1993)Estimating Semiparametric ARCH(oo) Models by Kernel Smoothing Methods1 (2005)Nonparametric Inference of Value-at-Risk for Dependent Financial Returns (2005)ERGODICITY, MIXING, AND EXISTENCE OF MOMENTS OF A CLASS OF MARKOV MODELS WITH APPLICATIONS TO GARCH AND ACD MODELS (2008)Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation (1991)A test for independence based on the correlation dimension (1996)The relation between implied and realized volatility (1998)On the globalization of stock markets: An application of Vector Error Correction Model, Mutual Information and Singular Spectrum Analysis to the G7 countries (2012)Testing Serial Independence via Density-Based Measures of Divergence (2013)DIAGNOSTIC CHECKING ARMA TIME SERIES MODELS USING SQUARED‐RESIDUAL AUTOCORRELATIONS (1983)A Dependence Metric for Possibly Nonlinear Processes (2004)Asymptotic Distribution Theory for Nonparametric Entropy Measures of Serial Dependence (2005)Can Rare Events Explain the Equity Premium Puzzle? (2012)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Econometric Analysis of Cross Section and Panel Data (2001)
this work references cited by second hop

References

  • 1982Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation20,684 cited
  • 1995Nonparametric Estimation and Identification of Nonlinear ARCH Time Series Strong Convergence and Asymptotic Normality: Strong Convergence and Asymptotic Normality275 cited
  • 1991Consistent Nonparametric Entropy-Based Testing235 cited

Cited by

  • 2009Nonparametric Entropy-Based Tests of Independence Between Stochastic Processes33 cited

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