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On the robustness of nonlinearity tests to moment condition failure
16 references·10 citing·28 second hop
On the robustness of nonlinearity tests to moment condition failure (1997)On the robustness of nonlinearity tests t…Proceedings of the International Joint Conference on Neural Networks, 2003. (2003)Proceedings of the Internatio…The variation of certain speculative prices (1997)The variation of certain spec…A test for independence based on the correlation dimension (1996)A test for independence based…Testing the covariance stationarity of heavy-tailed time series: An overview of the theory with applications to several financial datasets (1994)Testing the covariance statio…Modelling nonlinear economic relationships (1994)Modelling nonlinear economic …Testing for neglected nonlinearity in time series models (1993)Testing for neglected nonline…ARCH modeling in finance (1992)ARCH modeling in financeOn the Frequency of Large Stock Returns: Putting Booms and Busts into Perspective (1991)On the Frequency of Large Sto…Chaos and Nonlinear Dynamics: Application to Financial Markets (1991)Chaos and Nonlinear Dynamics:…On the Frequency of Large Stock Returns: Putting Booms and Busts into Perspective (1989)On the Frequency of Large Sto…The Stable-Law Model of Stock Returns (1988)The Stable-Law Model of Stock…Testing Linearity Against Smooth Transition Autoregressive Models (1988)Testing Linearity Against Smo…DIAGNOSTIC CHECKING ARMA TIME SERIES MODELS USING SQUARED‐RESIDUAL AUTOCORRELATIONS (1983)DIAGNOSTIC CHECKING ARMA TIME…On Some Simple Estimates of an Exponent of Regular Variation (1982)On Some Simple Estimates of a…A Comparison of the Stable and Student Distributions as Statistical Models for Stock Prices (1974)A Comparison of the Stable an…The Variation of Certain Speculative Prices (1963)The Variation of Certain Spec…Non-linear Time Series Analysis (2018)Non-linear Time Series Analys…Contagion effects during financial crisis: Evidence from the Greek sovereign bonds market (2015)Contagion effects during fina…NON‐LINEAR PREDICTABILITY IN G7 STOCK INDEX RETURNS* (2012)NON‐LINEAR PREDICTABILITY IN …Evaluating the Effectiveness of State-Switching Time Series Models for U.S. Real Output (2006)Evaluating the Effectiveness …Forecasting with genetically programmed polynomial neural networks (2005)Forecasting with genetically …A New Test of the Martingale Difference Hypothesis (2004)A New Test of the Martingale …Time reversibility tests of volume–volatility dynamics for stock returns (2003)Time reversibility tests of v…Time irreversibility and EGARCH effects in US stock index returns (2002)Time irreversibility and EGAR…Testing time reversibility without moment restrictions (2000)Testing time reversibility wi…11 Nonlinear time series, complexity theory, and finance (1996)11 Nonlinear time series, com…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)The Pricing of Options and Corporate Liabilities (1973)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)Multivariate Simultaneous Generalized ARCH (1995)Dynamic Conditional Correlation (2002)Testing for Serial Correlation in Least-Squares Regression When Some of the Regressors are Lagged Dependent Variables (1970)Time Series Analysis: Forecasting and Control (1977)Testing for Nonlinear Dependence in Daily Foreign Exchange Rates (1989)ARCH MODELS: PROPERTIES, ESTIMATION AND TESTING (1993)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Bayesian Analysis of Stochastic Volatility Models (1994)Parametric and Nonparametric Volatility Measurement (2010)Does realized skewness predict the cross-section of equity returns? (2015)Using a Bootstrap Method to Choose the Sample Fraction in Tail Index Estimation (2001)Rank − 1 / 2: A Simple Way to Improve the OLS Estimation of Tail Exponents (2009)Nonlinear Mean‐Reversion in Real Exchange Rates: Toward a Solution To the Purchasing Power Parity Puzzles (2001)Testing for a unit root in the nonlinear STAR framework (2002)THE PERFORMANCE OF MUTUAL FUNDS IN THE PERIOD 1945–1964 (1968)Option pricing when underlying stock returns are discontinuous (1976)Option values under stochastic volatility: Theory and empirical estimates (1987)Chapter 49 Arch models (1994)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)A hybrid ARIMA and support vector machines model in stock price forecasting (2004)Incorporating stock prices and news sentiments for stock market prediction: A case of Hong Kong (2020)Stock market movement forecast: A Systematic review (2020)
this work references cited by second hop

References

  • 1963The Variation of Certain Speculative Prices4,851 cited
  • 1997The variation of certain speculative prices4,468 cited
  • 1992ARCH modeling in finance4,288 cited
  • 1996A test for independence based on the correlation dimension3,526 cited
  • 2003Proceedings of the International Joint Conference on Neural Networks, 2003.1,674 cited
  • 1988Testing Linearity Against Smooth Transition Autoregressive Models1,365 cited
  • 1983DIAGNOSTIC CHECKING ARMA TIME SERIES MODELS USING SQUARED‐RESIDUAL AUTOCORRELATIONS1,124 cited
  • 1991Chaos and Nonlinear Dynamics: Application to Financial Markets1,046 cited
  • 1974A Comparison of the Stable and Student Distributions as Statistical Models for Stock Prices903 cited
  • 1982On Some Simple Estimates of an Exponent of Regular Variation564 cited
  • 1994Testing the covariance stationarity of heavy-tailed time series: An overview of the theory with applications to several financial datasets517 cited
  • 1993Testing for neglected nonlinearity in time series models498 cited
  • 1991On the Frequency of Large Stock Returns: Putting Booms and Busts into Perspective448 cited
  • 1989On the Frequency of Large Stock Returns: Putting Booms and Busts into Perspective425 cited
  • 1994

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Modelling nonlinear economic relationships
296 cited
  • 1988The Stable-Law Model of Stock Returns240 cited
  • Cited by

    • 199611 Nonlinear time series, complexity theory, and finance86 cited
    • 2000Testing time reversibility without moment restrictions71 cited
    • 2015Contagion effects during financial crisis: Evidence from the Greek sovereign bonds market57 cited
    • 2004A New Test of the Martingale Difference Hypothesis44 cited
    • 2018Non-linear Time Series Analysis44 cited
    • 2002Time irreversibility and EGARCH effects in US stock index returns38 cited
    • 2012NON‐LINEAR PREDICTABILITY IN G7 STOCK INDEX RETURNS*36 cited
    • 2005Forecasting with genetically programmed polynomial neural networks31 cited
    • 2003Time reversibility tests of volume–volatility dynamics for stock returns26 cited
    • 2006Evaluating the Effectiveness of State-Switching Time Series Models for U.S. Real Output20 cited