Nonparametric bootstrap tests for independence of generalized errors
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- Zaichao Du, 2009. "Nonparametric Bootstrap Tests for Independence of Generalized Errors," CAEPR Working Papers 2009-023, Center for Applied Economics and Policy Research, Department of Economics, Indiana University Bloomington.
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Cited by:
- Zaichao Du & Juan Carlos Escanciano, 2017.
"Backtesting Expected Shortfall: Accounting for Tail Risk,"
Management Science, INFORMS, vol. 63(4), pages 940-958, April.
- 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, Department of Economics, Indiana University Bloomington.
- Nasri, Bouchra R., 2022. "Tests of serial dependence for multivariate time series with arbitrary distributions," Journal of Multivariate Analysis, Elsevier, vol. 192(C).
- Kilani Ghoudi & Bruno Rémillard, 2018. "Serial independence tests for innovations of conditional mean and variance models," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 27(1), pages 3-26, March.
- Nasri, Bouchra R. & Rémillard, Bruno N. & Bahraoui, Tarik, 2022. "Change-point problems for multivariate time series using pseudo-observations," Journal of Multivariate Analysis, Elsevier, vol. 187(C).
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