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Generalized run tests for heteroscedastic time series

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  • Marc Hallin
  • Jean-Marie Dufour
  • Ivan Mizera

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Bibliographic Info

Paper provided by ULB -- Universite Libre de Bruxelles in its series ULB Institutional Repository with number 2013/2077.

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Date of creation: 1998
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Publication status: Published in: Journal of Nonparametric Statistics (1998) v.9,p.39-86
Handle: RePEc:ulb:ulbeco:2013/2077

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Cited by:
  1. Paindaveine, Davy, 2009. "On Multivariate Runs Tests for Randomness," Journal of the American Statistical Association, American Statistical Association, American Statistical Association, vol. 104(488), pages 1525-1538.
  2. BEAULIEU, Marie-Claude & DUFOUR, Jean-Marie & KHALAF, Lynda, 2005. "Exact Multivariate Tests of Asset Pricing Models with Stable Asymmetric Distributions," Cahiers de recherche, Centre interuniversitaire de recherche en économie quantitative, CIREQ 04-2005, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
  3. Rainer Dyckerhoff & Christophe Ley & Davy Paindaveine, 2014. "Depth-Based Runs Tests for bivariate Central Symmetry," Working Papers ECARES, ULB -- Universite Libre de Bruxelles 2013/76999, ULB -- Universite Libre de Bruxelles.
  4. Dufour, Jean-Marie & Torres, Olivier, 2000. "Markovian processes, two-sided autoregressions and finite-sample inference for stationary and nonstationary autoregressive processes," Journal of Econometrics, Elsevier, Elsevier, vol. 99(2), pages 255-289, December.
  5. DUFOUR, Jean-Marie, 2005. "Monte Carlo Tests with Nuisance Parameters: A General Approach to Finite-Sample Inference and Nonstandard Asymptotics," Cahiers de recherche, Universite de Montreal, Departement de sciences economiques 2005-03, Universite de Montreal, Departement de sciences economiques.
  6. Linton, O. & Whang, Yoon-Jae, 2007. "The quantilogram: With an application to evaluating directional predictability," Journal of Econometrics, Elsevier, Elsevier, vol. 141(1), pages 250-282, November.

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