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An Improved Generalized Spectral Test For Conditional Mean Models In Time Series With Conditional Heteroskedasticity Of Unknown Form

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  • Hong, Yongmiao
  • Lee, Yoon-Jin

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  • Hong, Yongmiao & Lee, Yoon-Jin, 2007. "An Improved Generalized Spectral Test For Conditional Mean Models In Time Series With Conditional Heteroskedasticity Of Unknown Form," Econometric Theory, Cambridge University Press, vol. 23(01), pages 106-154, February.
  • Handle: RePEc:cup:etheor:v:23:y:2007:i:01:p:106-154_07
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    Cited by:

    1. Jarrow, Robert & Kwok, Simon Sai Man, 2015. "Specification tests of calibrated option pricing models," Journal of Econometrics, Elsevier, vol. 189(2), pages 397-414.
    2. P├ęter Farkas, 2013. "Counting Process Generated by Boundary-crossing Events. Theory and Statistical Applications," CEU Working Papers 2013_4, Department of Economics, Central European University.
    3. repec:wyi:journl:002120 is not listed on IDEAS
    4. Karim M. Abadir & Gabriel Talmain, 2012. "Beyond Co-Integration: Modelling Co-Movements in Macro finance," Working Paper series 25_12, Rimini Centre for Economic Analysis.
    5. Yongmiao Hong & Yoon-Jin Lee, 2007. "Detecting Misspecifications in Autoregressive Conditional Duration Models," Caepr Working Papers 2007-019, Center for Applied Economics and Policy Research, Economics Department, Indiana University Bloomington.
    6. Hamidi Sahneh, Mehdi, 2015. "Are the shocks obtained from SVAR fundamental?," MPRA Paper 65126, University Library of Munich, Germany.

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