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Hybrid quantile estimation for asymmetric power GARCH models
Wang, Guochang; Zhu, Ke; Li, Guodong; Li, Wai Keung - In: Journal of econometrics 227 (2022) 1, pp. 264-284
Persistent link: https://www.econbiz.de/10013441656
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Two-stage stationary bootstrapping for bivariate average realized volatility matrix under market microstructure noise and asynchronicity
Hwang, Eunju; Shin, Dong-wan - In: Journal of econometrics 202 (2018) 2, pp. 178-195
Persistent link: https://www.econbiz.de/10011974560
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Testing serial correlations in high-dimensional time series via extreme value theory
Tsay, Ruey S. - In: Journal of econometrics 216 (2020) 1, pp. 106-117
Persistent link: https://www.econbiz.de/10012439650
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Testing for independence between functional time series
Horváth, Lajos; Rice, Gregory - In: Journal of econometrics 189 (2015) 2, pp. 371-382
Persistent link: https://www.econbiz.de/10011504560
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Multi-scale tests for serial correlation
Gençay, Ramazan; Signori, Daniele - In: Journal of econometrics 184 (2015) 1, pp. 62-80
Persistent link: https://www.econbiz.de/10011326817
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A fixed-bandwidth view of the pre-asymptotic inference for kernel smoothing with time series data
Kim, Min Seong; Sun, Yixiao; Yang, Jingjing - In: Journal of econometrics 197 (2017) 2, pp. 298-322
Persistent link: https://www.econbiz.de/10011818361
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Portmanteau-type tests for unit-root and cointegration
Zhang, Rongmao; Chan, Ngai Hang - In: Journal of econometrics 207 (2018) 2, pp. 307-324
Persistent link: https://www.econbiz.de/10012116354
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Goodness-of-fit testing for time series models via distance covariance
Wan, Phyllis; Davis, Richard A. - In: Journal of econometrics 227 (2022) 1, pp. 4-24
Persistent link: https://www.econbiz.de/10013441619
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Tests for conditional ellipticity in multivariate GARCH models
Francq, Christian; Jiménez-Gamero, M. D.; Meintanis, S. G. - In: Journal of econometrics 196 (2017) 2, pp. 305-319
Persistent link: https://www.econbiz.de/10011818298
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Residual-based rank specification tests for AR-GARCH type models
Andreou, Elena; Werker, Bas J. M. - In: Journal of econometrics 185 (2015) 2, pp. 305-331
Persistent link: https://www.econbiz.de/10011348447