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Spectral tests of the martingale hypothesis under conditional heteroscedasticity
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- Boswijk, H. Peter & Cavaliere, Giuseppe & Rahbek, Anders & Taylor, A.M. Robert, 2016.
"Inference on co-integration parameters in heteroskedastic vector autoregressions,"
Journal of Econometrics, Elsevier, vol. 192(1), pages 64-85.
- H. Peter Boswijk & Giuseppe Cavaliere & Anders Rahbek & A.M. Robert Taylor, 2013. "Inference on Co-integration Parameters in Heteroskedastic Vector Autoregressions," Discussion Papers 13-13, University of Copenhagen. Department of Economics.
- H. Peter Boswijk & Giuseppe Cavaliere & Anders Rahbek & A. M. Robert Taylor, 2013. "Inference on Co-integration Parameters in Heteroskedastic Vector Autoregressions," Tinbergen Institute Discussion Papers 13-187/III, Tinbergen Institute.
- repec:cte:wsrepe:ws035312 is not listed on IDEAS
- Goncalves, Silvia & Kilian, Lutz, 2004.
"Bootstrapping autoregressions with conditional heteroskedasticity of unknown form,"
Journal of Econometrics,
Elsevier, vol. 123(1), pages 89-120, November.
- Kilian, Lutz & Gonçalves, Sílvia, 2002. "Bootstrapping Autoregressions with Conditional Heteroskedasticity of Unknown Form," Discussion Paper Series 1: Economic Studies 2002,26, Deutsche Bundesbank.
- GONÇALVES, Silvia & KILIAN, Lutz, 2003. "Bootstrapping Autoregressions with Conditional Heteroskedasticity of Unknown Form," Cahiers de recherche 2003-01, Universite de Montreal, Departement de sciences economiques.
- Gonçalves, Sílvia & KILIAN, Lutz, 2003. "Bootstrapping Autoregressions with Conditional Heteroskedasticity of Unknown Form," Cahiers de recherche 01-2003, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
- Gonçalves, Sílvia & Kilian, Lutz, 2002. "Bootstrapping autoregressions with conditional heteroskedasticity of unknown form," Working Paper Series 0196, European Central Bank.
- Sílvia Gonçalves & Lutz Kilian, 2003. "Bootstrapping Autoregressions with Conditional Heteroskedasticity of Unknown Form," CIRANO Working Papers 2003s-17, CIRANO.
- Yongmiao Hong, 2013. "Serial Correlation and Serial Dependence," Working Papers 2013-10-14, Wang Yanan Institute for Studies in Economics (WISE), Xiamen University.
- Cavaliere, Giuseppe & Nielsen, Morten Ørregaard & Taylor, A.M. Robert, 2017.
"Quasi-maximum likelihood estimation and bootstrap inference in fractional time series models with heteroskedasticity of unknown form,"
Journal of Econometrics, Elsevier, vol. 198(1), pages 165-188.
- Giuseppe Cavaliere & Morten Ø. Nielsen & A.M. Robert Taylor, 2016. "Quasi-maximum Likelihood Estimation And Bootstrap Inference In Fractional Time Series Models With Heteroskedasticity Of Unknown Form," Working Paper 1324, Economics Department, Queen's University.
- Giuseppe Cavaliere & Morten Ørregaard Nielsen & Robert Taylor, 2017. "Quasi-Maximum Likelihood Estimation and Bootstrap Inference in Fractional Time Series Models with Heteroskedasticity of Unknown Form," CREATES Research Papers 2017-02, Department of Economics and Business Economics, Aarhus University.
- Stan Hurn & Ralf Becker, 2009.
"Testing for Nonlinearity in Mean in the Presence of Heteroskedasticity,"
Economic Analysis and Policy, Elsevier, vol. 39(2), pages 311-326, September.
- Stan Hurn, 2004. "Testing for Nonlinearity in Mean in the Presence of Heteroskedasticity," Econometric Society 2004 Australasian Meetings 348, Econometric Society.
- Stan Hurn & Ralf Becker, 2006. "Testing for nonlinearity in mean in the presence of heteroskedasticity," Stan Hurn Discussion Papers 2006-02, School of Economics and Finance, Queensland University of Technology.
- Wang, Qiying & Wu, Dongsheng & Zhu, Ke, 2018. "Model checks for nonlinear cointegrating regression," Journal of Econometrics, Elsevier, vol. 207(2), pages 261-284.
- repec:wyi:journl:002087 is not listed on IDEAS
- Goncalves, Silvia & Kilian, Lutz, 2004.
"Bootstrapping autoregressions with conditional heteroskedasticity of unknown form,"
Journal of Econometrics, Elsevier, vol. 123(1), pages 89-120, November.
- Kilian, Lutz & Gonçalves, Sílvia, 2002. "Bootstrapping Autoregressions with Conditional Heteroskedasticity of Unknown Form," Discussion Paper Series 1: Economic Studies 2002,26, Deutsche Bundesbank.
- Gonçalves, Sílvia & Kilian, Lutz, 2002. "Bootstrapping autoregressions with conditional heteroskedasticity of unknown form," Working Paper Series 196, European Central Bank.
- Silvia Gonçalves & Lutz Kilian, 2003. "Bootstrapping Autoregressions with Conditional Heteroskedasticity of Unknown Form," CIRANO Working Papers 2003s-17, CIRANO.
- GONÇALVES, Silvia & KILIAN, Lutz, 2003. "Bootstrapping Autoregressions with Conditional Heteroskedasticity of Unknown Form," Cahiers de recherche 2003-01, Universite de Montreal, Departement de sciences economiques.
- Gonçalves, Sílvia & KILIAN, Lutz, 2003. "Bootstrapping Autoregressions with Conditional Heteroskedasticity of Unknown Form," Cahiers de recherche 01-2003, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
- Escanciano, J. Carlos, 2006.
"Goodness-of-Fit Tests for Linear and Nonlinear Time Series Models,"
Journal of the American Statistical Association, American Statistical Association, vol. 101, pages 531-541, June.
- Juan Carlos Escanciano, 2005. "Goodness-of-fit Tests for Linear and Non-linear Time Series Models," Faculty Working Papers 02/05, School of Economics and Business Administration, University of Navarra.
- Arteche, Josu & García-Enríquez, Javier, 2017. "Singular Spectrum Analysis for signal extraction in Stochastic Volatility models," Econometrics and Statistics, Elsevier, vol. 1(C), pages 85-98.
- Christian M. Hafner & Helmut Herwartz, 2009. "Testing for linear vector autoregressive dynamics under multivariate generalized autoregressive heteroskedasticity," Statistica Neerlandica, Netherlands Society for Statistics and Operations Research, vol. 63(3), pages 294-323, August.
- Thomas Busch, 2008. "Testing the martingale restriction for option implied densities," Review of Derivatives Research, Springer, vol. 11(1), pages 61-81, March.
- Nankervis, John C. & Savin, N. E., 2010. "Testing for Serial Correlation: Generalized Andrews–Ploberger Tests," Journal of Business & Economic Statistics, American Statistical Association, vol. 28(2), pages 246-255.
- Ke Zhu, 2016.
"Bootstrapping the portmanteau tests in weak auto-regressive moving average models,"
Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 78(2), pages 463-485, March.
- Zhu, Ke, 2015. "Bootstrapping the portmanteau tests in weak auto-regressive moving average models," MPRA Paper 61930, University Library of Munich, Germany.
- Georgiev, Iliyan & Harvey, David I. & Leybourne, Stephen J. & Taylor, A.M. Robert, 2018.
"Testing for parameter instability in predictive regression models,"
Journal of Econometrics, Elsevier, vol. 204(1), pages 101-118.
- Georgiev, I & Harvey, DI & Leybourne, SJ & Taylor, AM, 2018. "Testing for Parameter Instability in Predictive Regression Models," Essex Finance Centre Working Papers 21162, University of Essex, Essex Business School.
- Roberto Baragona & Francesco Battaglia & Domenico Cucina, 2024. "ARMA model checking with data-driven portmanteau tests," Statistical Methods & Applications, Springer;Società Italiana di Statistica, vol. 33(3), pages 925-942, July.
- Giraitis, Liudas & Li, Yufei & Phillips, Peter C.B., 2024.
"Robust inference on correlation under general heterogeneity,"
Journal of Econometrics, Elsevier, vol. 240(1).
- Liudas Giraitis & Yufei Li & Peter C.B. Phillips, 2023. "Robust Inference on Correlation under General Heterogeneity," Cowles Foundation Discussion Papers 2354, Cowles Foundation for Research in Economics, Yale University.
- Shuping Shi & Peter C. B. Phillips & Stan Hurn, 2018.
"Change Detection and the Causal Impact of the Yield Curve,"
Journal of Time Series Analysis, Wiley Blackwell, vol. 39(6), pages 966-987, November.
- Stan Hurn & Peter C B Phillips & Shuping Shi, 2015. "Change Detection and the Casual Impact of the Yield Curve," NCER Working Paper Series 107, National Centre for Econometric Research.
- Stan Hurn & Peter C. B. Phillips & Shu-Ping Shi, 2016. ""Change Detection and the Causal Impact of the Yield Curve," Cowles Foundation Discussion Papers 2058, Cowles Foundation for Research in Economics, Yale University.
- Charles, Amélie & Darné, Olivier & Fouilloux, Jessica, 2011.
"Testing the martingale difference hypothesis in CO2 emission allowances,"
Economic Modelling, Elsevier, vol. 28(1), pages 27-35.
- Charles, Amélie & Darné, Olivier & Fouilloux, Jessica, 2011. "Testing the martingale difference hypothesis in CO2 emission allowances," Economic Modelling, Elsevier, vol. 28(1-2), pages 27-35, January.
- Amélie Charles & Olivier Darné & Jessica Fouilloux, 2011. "Testing the martingale difference hypothesis in CO2 emission allowances," Post-Print halshs-00600724, HAL.
- Shao, Xiaofeng, 2011. "A bootstrap-assisted spectral test of white noise under unknown dependence," Journal of Econometrics, Elsevier, vol. 162(2), pages 213-224, June.
- Hsu, Shih-Hsun & Kuan, Chung-Ming, 2014. "Constructing smooth tests without estimating the eigenpairs of the limiting process," Journal of Econometrics, Elsevier, vol. 178(P1), pages 71-79.
- Escanciano, J. Carlos & Velasco, Carlos, 2006.
"Testing the martingale difference hypothesis using integrated regression functions,"
Computational Statistics & Data Analysis, Elsevier, vol. 51(4), pages 2278-2294, December.
- Juan Carlos Escanciano & Carlos Velasco, 2006. "Testing the Martingale Difference Hypothesis Using Integrated Regression Functions," Faculty Working Papers 06/06, School of Economics and Business Administration, University of Navarra.
- Giuseppe Cavaliere & Anders Rahbek, 2019. "A Primer On Bootstrap Testing Of Hypotheses In Time Series Models: With An Application To Double Autoregressive Models," Discussion Papers 19-03, University of Copenhagen. Department of Economics.
- Brüggemann, Ralf & Jentsch, Carsten & Trenkler, Carsten, 2016.
"Inference in VARs with conditional heteroskedasticity of unknown form,"
Journal of Econometrics, Elsevier, vol. 191(1), pages 69-85.
- Ralf Brüggemann & Carsten Jentsch & Carsten Trenkler, 2014. "Inference in VARs with Conditional Heteroskedasticity of Unknown Form," Working Paper Series of the Department of Economics, University of Konstanz 2014-13, Department of Economics, University of Konstanz.
- Brüggemann, Ralf & Jentsch, Carsten & Trenkler, Carsten, 2014. "Inference in VARs with Conditional Heteroskedasticity of Unknown Form," Working Papers 14-21, University of Mannheim, Department of Economics.
- Chen, Willa W. & Deo, Rohit S., 2006.
"The Variance Ratio Statistic At Large Horizons,"
Econometric Theory, Cambridge University Press, vol. 22(2), pages 206-234, April.
- Willa Chen & Rohit Deo, 2005. "The Variance Ratio Statistic at large Horizons," Econometrics 0501003, University Library of Munich, Germany.
- Li, Linyuan & Duchesne, Pierre & Liou, Chu Pheuil, 2021. "On diagnostic checking in ARMA models with conditionally heteroscedastic martingale difference using wavelet methods," Econometrics and Statistics, Elsevier, vol. 19(C), pages 169-187.
- Zhang, Xianyang, 2016. "White noise testing and model diagnostic checking for functional time series," Journal of Econometrics, Elsevier, vol. 194(1), pages 76-95.
- Charles, Amélie & Darné, Olivier & Kim, Jae H., 2012.
"Exchange-rate return predictability and the adaptive markets hypothesis: Evidence from major foreign exchange rates,"
Journal of International Money and Finance, Elsevier, vol. 31(6), pages 1607-1626.
- Amélie Charles & Olivier Darné & Jae H. Kim, 2010. "Exchange-Rate Return Predictability and the Adaptive Markets Hypothesis: Evidence from Major Foreign Exchange Rates," Working Papers hal-00547722, HAL.
- Amélie Charles & Olivier Darné & Jae H. Kim, 2012. "Exchange-rate return predictability and the adaptive markets hypothesis: Evidence from major foreign exchange rates," Post-Print hal-00958288, HAL.
- Proietti, Tommaso & Luati, Alessandra, 2015.
"The generalised autocovariance function,"
Journal of Econometrics, Elsevier, vol. 186(1), pages 245-257.
- Tommaso, Proietti & Alessandra, Luati, 2012. "The Generalised Autocovariance Function," MPRA Paper 43711, University Library of Munich, Germany.
- Tommaso Proietti & Alessandra Luati, 2013. "The Generalised Autocovariance Function," CEIS Research Paper 276, Tor Vergata University, CEIS, revised 30 Apr 2013.
- Xuexin WANG, 2021. "Generalized Spectral Tests for High Dimensional Multivariate Martingale Difference Hypotheses," Working Papers 2021-11-06, Wang Yanan Institute for Studies in Economics (WISE), Xiamen University.
- Gourieroux, Christian & Jasiak, Joann, 2019.
"Robust analysis of the martingale hypothesis,"
Econometrics and Statistics, Elsevier, vol. 9(C), pages 17-41.
- Christian Gouriéroux & Joann Jasiak, 2016. "Robust Analysis of the Martingale Hypothesis," Working Papers 2016-18, Center for Research in Economics and Statistics.
- Escanciano, Juan Carlos & Mayoral, Silvia, 2010.
"Data-driven smooth tests for the martingale difference hypothesis,"
Computational Statistics & Data Analysis, Elsevier, vol. 54(8), pages 1983-1998, August.
- Juan Carlos Escanciano & Silvia Mayoral, 2007. "Data-Driven Smooth Tests for the Martingale Difference Hypothesis," Faculty Working Papers 01/07, School of Economics and Business Administration, University of Navarra.
- Kuan Chung-Ming & Lee Wei-Ming, 2004.
"A New Test of the Martingale Difference Hypothesis,"
Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 8(4), pages 1-26, December.
- Chung-Ming Kuan & Wei-Ming Lee, 2003. "A New Test of the Martingale Difference Hypothesis," IEAS Working Paper : academic research 03-A001, Institute of Economics, Academia Sinica, Taipei, Taiwan.
- Adrian Wai‐Kong Cheung & Jen‐Je Su & Astrophel Kim Choo, 2012. "Are exchange rates serially correlated? New evidence from the Euro FX markets," Review of Financial Economics, John Wiley & Sons, vol. 21(1), pages 14-20, January.
- Escanciano, J. Carlos, 2007. "Weak convergence of non-stationary multivariate marked processes with applications to martingale testing," Journal of Multivariate Analysis, Elsevier, vol. 98(7), pages 1321-1336, August.
- Fong, Wai Mun & Yong, Lawrence H. M., 2005. "Chasing trends: recursive moving average trading rules and internet stocks," Journal of Empirical Finance, Elsevier, vol. 12(1), pages 43-76, January.
- Carlos Velasco & Ignacio N. Lobato, 2004. "A simple and general test for white noise," Econometric Society 2004 Latin American Meetings 112, Econometric Society.
- Charles, Amélie & Darné, Olivier & Kim, Jae H., 2017.
"Adaptive markets hypothesis for Islamic stock indices: Evidence from Dow Jones size and sector-indices,"
International Economics, Elsevier, vol. 151(C), pages 100-112.
- Amélie Charles & Olivier Darné & Jae Paul Kim, 2017. "Adaptive markets hypothesis for Islamic stock indices: Evidence from Dow Jones size and sector-indices," Post-Print hal-01598139, HAL.
- Amélie Charles & Olivier Darné & Jae H Kim, 2017. "Adaptive markets hypothesis for Islamic stock indices: Evidence from Dow Jones size and sector-indices," Post-Print hal-01579718, HAL.
- Park Joon Y. & Whang Yoon-Jae, 2005.
"A Test of the Martingale Hypothesis,"
Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 9(2), pages 1-32, June.
- Park, Joon Y. & Whang, Yoon-Jae, 2004. "A Test of the Martingale Hypothesis," Working Papers 2004-11, Rice University, Department of Economics.
- McPherson, Matthew Q. & Palardy, Joseph, 2007. "Are international stock returns predictable?: An examination of linear and non-linear predictability using generalized spectral tests," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 17(5), pages 452-464, December.
- McPherson, Matthew Q. & Palardy, Joseph & Vilasuso, Jon, 2005. "Are international stock returns predictable?: An application of spectral shape tests corrected for heteroskedasticity," Journal of Economics and Business, Elsevier, vol. 57(2), pages 103-118.
- George Kapetanios & Andrew P. Blake, 2007.
"Testing the Martingale Difference Hypothesis Using Neural Network Approximations,"
Working Papers
601, Queen Mary University of London, School of Economics and Finance.
- George Kapetanios & Andrew P. Blake, 2007. "Testing the Martingale Difference Hypothesis Using Neural Network Approximations," Working Papers 601, Queen Mary University of London, School of Economics and Finance.
- Peter C. B. Phillips & Sainan Jin, 2014.
"Testing the Martingale Hypothesis,"
Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 32(4), pages 537-554, October.
- Peter C.B. Phillips & Sainan Jin, 2013. "Testing the Martingale Hypothesis," Cowles Foundation Discussion Papers 1912, Cowles Foundation for Research in Economics, Yale University.
- Adrian Wai-Kong Cheung & Jen-Je Su & Astrophel Kim Choo, 2011. "Are Euro exchange rates markets efficient? New evidence from a large panel," Discussion Papers in Finance finance:201109, Griffith University, Department of Accounting, Finance and Economics.
- Marta Małecka & Radosław Pietrzyk, 2024. "A spectral approach to evaluating VaR forecasts: stock market evidence from the subprime mortgage crisis, through COVID-19, to the Russo–Ukrainian war," Quality & Quantity: International Journal of Methodology, Springer, vol. 58(5), pages 4533-4567, October.
- Zhu, Ke & Li, Wai Keung, 2015.
"A bootstrapped spectral test for adequacy in weak ARMA models,"
Journal of Econometrics, Elsevier, vol. 187(1), pages 113-130.
- Zhu, Ke & Li, Wai-Keung, 2013. "A bootstrapped spectral test for adequacy in weak ARMA models," MPRA Paper 51224, University Library of Munich, Germany.
- Escanciano, J. Carlos & Velasco, Carlos, 2006. "Generalized spectral tests for the martingale difference hypothesis," Journal of Econometrics, Elsevier, vol. 134(1), pages 151-185, September.
- Friedrich Geiecke & Mark Trede, 2010. "A Direct Test of Rational Bubbles," CQE Working Papers 1310, Center for Quantitative Economics (CQE), University of Muenster.
- Zdeněk Hlávka & Marie Hušková & Claudia Kirch & Simos G. Meintanis, 2017. "Fourier--type tests involving martingale difference processes," Econometric Reviews, Taylor & Francis Journals, vol. 36(4), pages 468-492, April.
- Escanciano, J. Carlos & Lobato, Ignacio N., 2009. "An automatic Portmanteau test for serial correlation," Journal of Econometrics, Elsevier, vol. 151(2), pages 140-149, August.
- Hill, Jonathan B. & Motegi, Kaiji, 2019. "Testing the white noise hypothesis of stock returns," Economic Modelling, Elsevier, vol. 76(C), pages 231-242.
- Zhu, Ke, 2023. "A new generalized exponentially weighted moving average quantile model and its statistical inference," Journal of Econometrics, Elsevier, vol. 237(1).
- Erhard Reschenhofer, 2004. "Robust tests of the random walk hypothesis," Quantitative Finance, Taylor & Francis Journals, vol. 4(6), pages 57-60.
- Xiao, Han & Wu, Wei Biao, 2019. "Portmanteau Test and Simultaneous Inference for Serial Covariances," IRTG 1792 Discussion Papers 2019-017, Humboldt University of Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series".
- Adrian Pagan & Hashem Pesaran, 2007. "Econometric Analysis of Structural Systems with Permanent and Transitory Shocks. Working paper #7," NCER Working Paper Series 7, National Centre for Econometric Research.
- Ke-Li Xu, 2023. "Local Projection Based Inference under General Conditions," CAEPR Working Papers 2023-001 Classification-C, Center for Applied Economics and Policy Research, Department of Economics, Indiana University Bloomington.
- Chang, Jinyuan & Jiang, Qing & Shao, Xiaofeng, 2023.
"Testing the martingale difference hypothesis in high dimension,"
Journal of Econometrics, Elsevier, vol. 235(2), pages 972-1000.
- Jinyuan Chang & Qing Jiang & Xiaofeng Shao, 2022. "Testing the martingale difference hypothesis in high dimension," Papers 2209.04770, arXiv.org, revised Sep 2022.
- Guay, Alain & Guerre, Emmanuel & Lazarová, Štěpána, 2013. "Robust adaptive rate-optimal testing for the white noise hypothesis," Journal of Econometrics, Elsevier, vol. 176(2), pages 134-145.
- Chang, Jinyuan & Yao, Qiwei & Zhou, Wen, 2017. "Testing for high-dimensional white noise using maximum cross-correlations," LSE Research Online Documents on Economics 68531, London School of Economics and Political Science, LSE Library.
- Josu Arteche & Javier García‐Enríquez, 2022. "Singular spectrum analysis for value at risk in stochastic volatility models," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 41(1), pages 3-16, January.
- Chen, Min & Zhu, Ke, 2014. "Sign-based specification tests for martingale difference with conditional heteroscedasity," MPRA Paper 56347, University Library of Munich, Germany.
- Deo, Rohit S. & Chen, Willa W., 2003. "The Variance Ratio Statistic at Large Horizons," Papers 2004,04, Humboldt University of Berlin, Center for Applied Statistics and Economics (CASE).
- Huang, Henry H. & Wang, Kent & Wang, Zhanglong, 2016. "A test of efficiency for the S&P 500 index option market using the generalized spectrum method," Journal of Banking & Finance, Elsevier, vol. 64(C), pages 52-70.