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Citations for "Spectral tests of the martingale hypothesis under conditional heteroscedasticity"

by Deo, Rohit S.

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  1. GONÇALVES, Silvia & KILIAN, Lutz, 2003. "Bootstrapping Autoregressions with Conditional Heteroskedasticity of Unknown Form," Cahiers de recherche, Universite de Montreal, Departement de sciences economiques 2003-01, Universite de Montreal, Departement de sciences economiques.
  2. Hsu, Shih-Hsun & Kuan, Chung-Ming, 2014. "Constructing smooth tests without estimating the eigenpairs of the limiting process," Journal of Econometrics, Elsevier, Elsevier, vol. 178(P1), pages 71-79.
  3. Adrian Pagan & Hashem Pesaran, 2007. "Econometric Analysis of Structural Systems with Permanent and Transitory Shocks. Working paper #7," NCER Working Paper Series, National Centre for Econometric Research 7, National Centre for Econometric Research.
  4. Peter C.B. Phillips & Sainan Jin, 2013. "Testing the Martingale Hypothesis," Cowles Foundation Discussion Papers 1912, Cowles Foundation for Research in Economics, Yale University.
  5. Tommaso Proietti & Alessandra Luati, 2013. "The Generalised Autocovariance Function," CEIS Research Paper 276, Tor Vergata University, CEIS, revised 30 Apr 2013.
  6. J. Carlos Escanciano & Carlos Velasco, 2003. "Generalized Spectral Tests For The Martingale Difference Hypothesis," Statistics and Econometrics Working Papers, Universidad Carlos III, Departamento de Estadística y Econometría ws035212, Universidad Carlos III, Departamento de Estadística y Econometría.
  7. Fong, Wai Mun & Yong, Lawrence H. M., 2005. "Chasing trends: recursive moving average trading rules and internet stocks," Journal of Empirical Finance, Elsevier, Elsevier, vol. 12(1), pages 43-76, January.
  8. Thomas Busch, 2008. "Testing the martingale restriction for option implied densities," Review of Derivatives Research, Springer, vol. 11(1), pages 61-81, March.
  9. Zhu, Ke & Li, Wai-Keung, 2013. "A bootstrapped spectral test for adequacy in weak ARMA models," MPRA Paper 51224, University Library of Munich, Germany.
  10. Carlos Velasco & Ignacio N. Lobato, 2004. "A simple and general test for white noise," Econometric Society 2004 Latin American Meetings, Econometric Society 112, Econometric Society.
  11. Stan Hurn & Ralf Becker, 2009. "Testing for Nonlinearity in Mean in the Presence of Heteroskedasticity," Economic Analysis and Policy (EAP), Queensland University of Technology (QUT), School of Economics and Finance, vol. 39(2), pages 311-326, September.
  12. 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.
  13. 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.
  14. 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.
  15. 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, Elsevier, vol. 57(2), pages 103-118.
  16. Chen, Min & Zhu, Ke, 2014. "Sign-based specification tests for martingale difference with conditional heteroscedasity," MPRA Paper 56347, University Library of Munich, Germany.
  17. Deo, Rohit S. & Chen, Willa W., 2003. "The Variance Ratio Statistic at Large Horizons," Papers 2004,04, Humboldt-Universität Berlin, Center for Applied Statistics and Economics (CASE).
  18. Willa Chen & Rohit Deo, 2005. "The Variance Ratio Statistic at large Horizons," Econometrics, EconWPA 0501003, EconWPA.
  19. Friedrich Geiecke & Mark Trede, 2010. "A Direct Test of Rational Bubbles," CQE Working Papers 1310, Center for Quantitative Economics (CQE), University of Muenster.
  20. 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, Elsevier, vol. 17(5), pages 452-464, December.
  21. 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.
  22. 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.
  23. Juan Carlos Escanciano & Carlos Velasco, . "Testing the Martingale Difference Hypothesis Using Integrated Regression Functions," Faculty Working Papers 06/06, School of Economics and Business Administration, University of Navarra.
  24. H. Peter Boswijk & Giuseppe Cavaliere & Anders Rahbek & A. M. Robert Taylor, . "Inference on Co-integration Parameters in Heteroskedastic Vector Autoregressions," Tinbergen Institute Discussion Papers 13-187/III, Tinbergen Institute.
  25. Escanciano, J. Carlos, 2006. "Goodness-of-Fit Tests for Linear and Nonlinear Time Series Models," Journal of the American Statistical Association, American Statistical Association, American Statistical Association, vol. 101, pages 531-541, June.
  26. 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.
  27. Escanciano, J. Carlos & Lobato, Ignacio N., 2009. "An automatic Portmanteau test for serial correlation," Journal of Econometrics, Elsevier, Elsevier, vol. 151(2), pages 140-149, August.
  28. repec:wyi:journl:002087 is not listed on IDEAS
  29. Shao, Xiaofeng, 2011. "A bootstrap-assisted spectral test of white noise under unknown dependence," Journal of Econometrics, Elsevier, Elsevier, vol. 162(2), pages 213-224, June.
  30. Yongmiao Hong, 2013. "Serial Correlation and Serial Dependence," Papers 2013-10-14, Working Paper.
  31. Guay, Alain & Guerre, Emmanuel & Lazarová, Štěpána, 2013. "Robust adaptive rate-optimal testing for the white noise hypothesis," Journal of Econometrics, Elsevier, Elsevier, vol. 176(2), pages 134-145.