New testing approaches for mean-variance predictability (Q2658802): Difference between revisions

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+https://doi.org/10.1016/j.jeconom.2020.07.014
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+W2182029991
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+A comparison of mean-variance efficiency tests
@@ Property / cites work: A comparison of mean-variance efficiency tests / rank @@
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+Testing When a Parameter is on the Boundary of the Maintained Hypothesis
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+Generalized autoregressive conditional heteroscedasticity
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+Hypothesis Testing When a Nuisance Parameter is Present Only Under the Alternative
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+Q3753259
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+Testing for GARCH effects: A one-sided approach
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+Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
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+Common risk factors in the returns on stocks and bonds
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+Consistent non-Gaussian pseudo maximum likelihood estimators
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+A WARP-SPEED METHOD FOR CONDUCTING MONTE CARLO EXPERIMENTS INVOLVING BOOTSTRAP ESTIMATORS
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+Q3999329
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+Bootstrapping autoregressions with conditional heteroskedasticity of unknown form
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+Rao's score test with nonparametric density estimators
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+Testing for linear autoregressive dynamics under heteroskedasticity
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+SEMIPARAMETRIC MULTIVARIATE VOLATILITY MODELS
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+Dynamic Models for Volatility and Heavy Tails
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+Unconditional pseudo-maximum likelihood and adaptive estimation in the presence of conditional heterogeneity of unknown form
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+Adaptive testing in arch models
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+Glejser's test revisited
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+Robust Statistics
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+Q3727186
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+Maximum Likelihood Specification Testing and Conditional Moment Tests
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+Efficient estimation of the semiparametric spatial autoregressive model
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+Diagnostic testing and evaluation of maximum likelihood models
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