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Multivariate tests of mean-variance efficiency and spanning with a large number of assets and time-varying covariances

Gungor, Sermin; Luger, Richard - In: Journal of business & economic statistics : JBES ; a … 34 (2016) 2, pp. 161-175

Persistent link: https://www.econbiz.de/10011691256

A Lagrange multiplier test for testing the adequacy of constant conditional correlation GARCH model

Catani, Paul; Teräsvirta, Timo; Yin, Meiqun - In: Econometric reviews 36 (2017) 6/9, pp. 599-621

Persistent link: https://www.econbiz.de/10011795292

Forecasting crude oil and refined products volatilities and correlations : new evidence from fractionally integrated multivariate GARCH models

Marchese, Malvina; Kyriakou, Ioannis; Tamvakis, Michael; … - In: Energy economics 88 (2020), pp. 1-13

Persistent link: https://www.econbiz.de/10012516745

The empirical size and power of some tests for detecting autoregressive conditional heteroskedasticity in the presence of serial correlation

Hurn, Stan; MacDonald, Alexander David - 1995

Persistent link: https://www.econbiz.de/10000916031

Testing against changing correlation

Harvey, Andrew C.; Thiele, Stephen - In: Journal of empirical finance 38 (2016), pp. 575-589

Persistent link: https://www.econbiz.de/10011663373

Testing for nonlinearity in conditional covariances

Sanhaji, Bilel - In: Journal of time series econometrics 9 (2017) 2, pp. 1-22

Persistent link: https://www.econbiz.de/10011701865

Testing serial correlation and ARCH effect of high-dimensional time-series data

Ling, Shiqing; Tsay, Ruey S.; Yang, Yaxing - In: Journal of business & economic statistics : JBES ; a … 39 (2021) 1, pp. 136-147

Persistent link: https://www.econbiz.de/10012424504

A self-normalization test for correlation change

Choi, Ji-Eun; Shin, Dong-wan - In: Economics letters 193 (2020), pp. 1-5

Persistent link: https://www.econbiz.de/10012509218

Testing for a serial correlation in VaR failures through the exponential autoregressive conditional duration model

Małecka, Marta - In: Statistics in transition : an international journal of … 22 (2021) 1, pp. 145-162

Although regulatory standards, currently developed by the Basel Committee on Banking Supervision, anticipate a shift from VaR to ES, the evaluation of risk models currently remains based on the VaR measure. Motivated by the Basel regulations, we address the issue of VaR backtesting and...

Persistent link: https://www.econbiz.de/10012487146

Testing for long-range dependence in financial time series

Mangat, Manveer Kaur; Reschenhofer, Erhard - In: Central European journal of economic modelling and … 11 (2019) 2, pp. 93-106

Persistent link: https://www.econbiz.de/10012294575