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On the robustness of nonlinearity tests to moment condition failure · Study

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ArticleOn the robustness of nonlinearity tests to moment condition failure

Pedro J. F. de Lima1997

Article1997

On the robustness of nonlinearity tests to moment condition failure

Pedro J. F. de Lima

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

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Financial Risk and Volatility Modeling Financial Markets and Investment Strategies Complex Systems and Time Series Analysis

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References

1963The Variation of Certain Speculative Prices 1997The variation of certain speculative prices 1992ARCH modeling in finance 1996A test for independence based on the correlation dimension 2003Proceedings of the International Joint Conference on Neural Networks, 2003.1988Testing Linearity Against Smooth Transition Autoregressive Models 1983DIAGNOSTIC CHECKING ARMA TIME SERIES MODELS USING SQUARED‐RESIDUAL AUTOCORRELATIONS 1991Chaos and Nonlinear Dynamics: Application to Financial Markets

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199611 Nonlinear time series, complexity theory, and finance 2000Testing time reversibility without moment restrictions 2015Contagion effects during financial crisis: Evidence from the Greek sovereign bonds market 2004A New Test of the Martingale Difference Hypothesis 2018Non-linear Time Series Analysis 2002Time irreversibility and EGARCH effects in US stock index returns

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Year1997

Typearticle

Published1997-01-01

VenueJournal of Econometrics

ISSN-L0304-4076

Languageen

Citations62

Files0 public / 0

ShelfFinancial Risk and Volatility Modeling

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doi10.1016/0304-4076(95)01791-7

openalex_workW2046325355

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2012NON‐LINEAR PREDICTABILITY IN G7 STOCK INDEX RETURNS*

2003Time reversibility tests of volume–volatility dynamics for stock returns