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On estimation and testing goodness of fit for m-dependent stable sequences

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  • Deo, Rohit S.

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  • Deo, Rohit S., 2000. "On estimation and testing goodness of fit for m-dependent stable sequences," Journal of Econometrics, Elsevier, vol. 99(2), pages 349-372, December.
    • Handle: RePEc:eee:econom:v:99:y:2000:i:2:p:349-372
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    References listed on IDEAS

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    1. de Vries, Casper G., 1991. "On the relation between GARCH and stable processes," Journal of Econometrics, Elsevier, vol. 48(3), pages 313-324, June.
    2. Andrews, Donald W K & Monahan, J Christopher, 1992. "An Improved Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimator," Econometrica, Econometric Society, vol. 60(4), pages 953-966, July.
    3. Benoit Mandelbrot, 2015. "The Variation of Certain Speculative Prices," World Scientific Book Chapters, in: Anastasios G Malliaris & William T Ziemba (ed.), THE WORLD SCIENTIFIC HANDBOOK OF FUTURES MARKETS, chapter 3, pages 39-78, World Scientific Publishing Co. Pte. Ltd..
    4. Akgiray, Vedat & Lamoureux, Christopher G, 1989. "Estimation of Stable-Law Parameters: A Comparative Study," Journal of Business & Economic Statistics, American Statistical Association, vol. 7(1), pages 85-93, January.
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    Cited by:

    1. repec:ebl:ecbull:v:3:y:2008:i:38:p:1-10 is not listed on IDEAS
    2. Steve Cook, 2008. "Non-linear unit root testing in the presence of heavy-tailed innovation processes," Economics Bulletin, AccessEcon, vol. 3(38), pages 1-10.
    3. Deo, Rohit S., 2002. "On testing the adequacy of stable processes under conditional heteroscedasticity," Journal of Empirical Finance, Elsevier, vol. 9(2), pages 257-270, March.
    4. Garcia, René & Renault, Eric & Veredas, David, 2011. "Estimation of stable distributions by indirect inference," Journal of Econometrics, Elsevier, vol. 161(2), pages 325-337, April.

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