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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

Fractionally integrated Log-GARCH with application to value at risk and expected shortfall

Feng, Yuanhua; Beran, Jan; Letmathe, Sebastian; Ghosh, … - 2020

Persistent link: https://www.econbiz.de/10012508904

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

Gungor, Sermin; Luger, Richard - 2013

We develop a finite-sample procedure to test for mean-variance efficiency and spanning without imposing any parametric assumptions on the distribution of model disturbances. In so doing, we provide an exact distribution-free method to test uniform linear restrictions in multivariate linear...

Persistent link: https://www.econbiz.de/10009746573

Portmanteau tests for linearity of stationary time series

Psaradakis, Zacharias G.; Vávra, Marián - 2015

Persistent link: https://www.econbiz.de/10011350561

Portmanteau tests for linearity of stationary time series

Psaradakis, Zacharias G.; Vávra, Marián - In: Econometric reviews 38 (2019) 2, pp. 248-262

Persistent link: https://www.econbiz.de/10012180732

On the robustness of Ljung-Box and McLeod-Li Q tests : a simulation study

Chen, Yi-ting (contributor) - In: Economics bulletin : EB (2002)

Persistent link: https://www.econbiz.de/10001740184

Portfolio optimization in the presence of dependent financial returns with long memory : a copula based approach

Boubaker, Heni; Sghaier, Nadia - In: Journal of banking & finance 37 (2013) 2, pp. 361-377

Persistent link: https://www.econbiz.de/10009705653

Generalized runs tests to detect randomness in hedge funds returns

Hentati-Kaffel, Rania; De Peretti, Philippe - In: Journal of banking & finance 50 (2015), pp. 608-615

Persistent link: https://www.econbiz.de/10010510178

Forecasting market risk of portfolios: copula-Markov switching multifractal approach

Segnon, Mawuli; Trede, Mark - In: The European journal of finance 24 (2018) 14, pp. 1123-1143

Persistent link: https://www.econbiz.de/10012258877

Detecting structural differences in tail dependence of financial time series

Bormann, Carsten; Schienle, Melanie - In: Journal of business & economic statistics : JBES ; a … 38 (2020) 2, pp. 380-392

Persistent link: https://www.econbiz.de/10012262482