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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, Sílvia & Kilian, Lutz, 2002. "Bootstrapping autoregressions with conditional heteroskedasticity of unknown form," Working Paper Series 0196, European Central Bank.
  2. 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, vol. 17(5), pages 452-464, December.
  3. Charles, Amélie & Darné, Olivier & Fouilloux, Jessica, 2011. "Testing the martingale difference hypothesis in CO2 emission allowances," Economic Modelling, Elsevier, vol. 28(1-2), pages 27-35, January.
  4. 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.
  5. H. Peter Boswijk & Giuseppe Cavaliere & Anders Rahbek & A.M. Robert Taylor, 2013. "Inference on Co-integration Parameters in Heteroskedastic Vector Autoregressions," Discussion Papers 13-13, University of Copenhagen. Department of Economics.
  6. Friedrich Geiecke & Mark Trede, 2010. "A Direct Test of Rational Bubbles," CQE Working Papers 1310, Center for Quantitative Economics (CQE), University of Muenster.
  7. repec:wyi:journl:002087 is not listed on IDEAS
  8. 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.
  9. Hsu, Shih-Hsun & Kuan, Chung-Ming, 2014. "Constructing smooth tests without estimating the eigenpairs of the limiting process," Journal of Econometrics, Elsevier, vol. 178(P1), pages 71-79.
  10. Yongmiao Hong, 2013. "Serial Correlation and Serial Dependence," WISE Working Papers 2013-10-14, Wang Yanan Institute for Studies in Economics (WISE), Xiamen University.
  11. Stan Hurn, 2004. "Testing for Nonlinearity in Mean in the Presence of Heteroskedasticity," Econometric Society 2004 Australasian Meetings 348, Econometric Society.
  12. 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, vol. 57(2), pages 103-118.
  13. Juan Carlos Escanciano & Silvia Mayoral, 2007. "Data-Driven Smooth Tests for the Martingale Difference Hypothesis," Faculty Working Papers 01/07, School of Economics and Business Administration, University of Navarra.
  14. Peter C.B. Phillips & Sainan Jin, 2013. "Testing the Martingale Hypothesis," Cowles Foundation Discussion Papers 1912, Cowles Foundation for Research in Economics, Yale University.
  15. Velasco, 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.
  16. Brüggemann, Ralf & Jentsch, Carsten & Trenkler, Carsten, 2016. "Inference in VARs with conditional heteroskedasticity of unknown form," Journal of Econometrics, Elsevier, vol. 191(1), pages 69-85.
  17. Escanciano, J. Carlos, 2006. "Goodness-of-Fit Tests for Linear and Nonlinear Time Series Models," Journal of the American Statistical Association, American Statistical Association, vol. 101, pages 531-541, June.
  18. Tommaso Proietti & Alessandra Luati, 2013. "The Generalised Autocovariance Function," CEIS Research Paper 276, Tor Vergata University, CEIS, revised 30 Apr 2013.
  19. Zhu, Ke, 2015. "Bootstrapping the portmanteau tests in weak auto-regressive moving average models," MPRA Paper 61930, University Library of Munich, Germany.
  20. 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).
  21. Nankervis, John C. & Savin, N. E., 2010. "Testing for Serial Correlation: Generalized Andrews–Ploberger Tests," Journal of Business & Economic Statistics, American Statistical Association, vol. 28(2), pages 246-255.
  22. Juan Carlos Escanciano & Carlos Velasco, 2006. "Testing the Martingale Difference Hypothesis Using Integrated Regression Functions," Faculty Working Papers 06/06, School of Economics and Business Administration, University of Navarra.
  23. Shao, Xiaofeng, 2011. "A bootstrap-assisted spectral test of white noise under unknown dependence," Journal of Econometrics, Elsevier, vol. 162(2), pages 213-224, June.
  24. 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.
  25. Chen, Willa W. & Deo, Rohit S., 2006. "The Variance Ratio Statistic At Large Horizons," Econometric Theory, Cambridge University Press, vol. 22(02), pages 206-234, April.
  26. Carlos Velasco & Ignacio N. Lobato, 2004. "A simple and general test for white noise," Econometric Society 2004 Latin American Meetings 112, Econometric Society.
  27. Chen, Min & Zhu, Ke, 2014. "Sign-based specification tests for martingale difference with conditional heteroscedasity," MPRA Paper 56347, University Library of Munich, Germany.
  28. Zhu, Ke & Li, Wai-Keung, 2013. "A bootstrapped spectral test for adequacy in weak ARMA models," MPRA Paper 51224, University Library of Munich, Germany.
  29. Zhang, Xianyang, 2016. "White noise testing and model diagnostic checking for functional time series," Journal of Econometrics, Elsevier, vol. 194(1), pages 76-95.
  30. Escanciano, J. Carlos & Lobato, Ignacio N., 2009. "An automatic Portmanteau test for serial correlation," Journal of Econometrics, Elsevier, vol. 151(2), pages 140-149, August.
  31. Fong, Wai Mun & Yong, Lawrence H. M., 2005. "Chasing trends: recursive moving average trading rules and internet stocks," Journal of Empirical Finance, Elsevier, vol. 12(1), pages 43-76, January.
  32. Huang, Henry H. & Wang, Kent & Wang, Zhanglong, 2016. "A test of efficiency for the S&P 500 index option market using the generalized spectrum method," Journal of Banking & Finance, Elsevier, vol. 64(C), pages 52-70.
  33. 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.
  34. Thomas Busch, 2008. "Testing the martingale restriction for option implied densities," Review of Derivatives Research, Springer, vol. 11(1), pages 61-81, March.
  35. Adrian Pagan & Hashem Pesaran, 2007. "Econometric Analysis of Structural Systems with Permanent and Transitory Shocks. Working paper #7," NCER Working Paper Series 7, National Centre for Econometric Research.
  36. Guay, Alain & Guerre, Emmanuel & Lazarová, Štěpána, 2013. "Robust adaptive rate-optimal testing for the white noise hypothesis," Journal of Econometrics, Elsevier, vol. 176(2), pages 134-145.
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