Weak convergence of non-stationary multivariate marked processes with applications to martingale testing
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References listed on IDEAS
- Deo, Rohit S., 2000. "Spectral tests of the martingale hypothesis under conditional heteroscedasticity," Journal of Econometrics, Elsevier, vol. 99(2), pages 291-315, December.
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- Velasco Gómez, Carlos & Escanciano, Juan Carlos, 2003. "Generalized spectral tests for the martingale difference hypothesis," DES - Working Papers. Statistics and Econometrics. WS ws035312, Universidad Carlos III de Madrid. Departamento de Estadística.
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CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Juan Carlos Escanciano & Zaichao Du, 2015. "Backtesting Expected Shortfall: Accounting for Tail Risk," Caepr Working Papers 2015-001, Center for Applied Economics and Policy Research, Economics Department, Indiana University Bloomington.
- Ferger, Dietmar, 2009. "Argmax-stable marked empirical processes," Statistics & Probability Letters, Elsevier, vol. 79(9), pages 1203-1206, May.
- Yoichi Nishiyama, 2009. "Goodness-of-fit test for a nonlinear time series," Journal of Time Series Analysis, Wiley Blackwell, vol. 30(6), pages 674-681, November.
- Peter C. B. Phillips & Sainan Jin, 2014. "Testing the Martingale Hypothesis," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 32(4), pages 537-554, October.
- Du, Zaichao, 2014. "Testing for serial independence of panel errors," Computational Statistics & Data Analysis, Elsevier, vol. 76(C), pages 248-261.
- Juan Carlos Escanciano & Chuan Goh, 2010. "Specification Analysis of Structural Quantile Regression Models," Working Papers tecipa-415, University of Toronto, Department of Economics.
More about this item
KeywordsMarked empirical processes Weak convergence Martingale hypothesis Non-stationary time series;
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