LACK-OF-FIT TESTING OF THE CONDITIONAL MEAN FUNCTION IN A CLASS OF MARKOV MULTIPLICATIVE ERROR MODELS (Q5397672): Difference between revisions

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scientific article; zbMATH DE number 6261098

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English	LACK-OF-FIT TESTING OF THE CONDITIONAL MEAN FUNCTION IN A CLASS OF MARKOV MULTIPLICATIVE ERROR MODELS	scientific article; zbMATH DE number 6261098

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scholarly article

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title

LACK-OF-FIT TESTING OF THE CONDITIONAL MEAN FUNCTION IN A CLASS OF MARKOV MULTIPLICATIVE ERROR MODELS (English)

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24 February 2014

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MaRDI profile type

MaRDI publication profile

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cites work

Model diagnosis for parametric regression in high-dimensional spaces

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The stochastic conditional duration model: a latent variable model for the analysis of financial durations

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Weak convergence of a self-consistent estimator of the survival function with doubly censored data

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Q5560061

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On a measure of lack of fit in time series models

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Nonparametric model checks for time series

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Conditional variance model checking

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Martingale transforms goodness-of-fit tests in regression models.

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Detecting misspecifications in autoregressive conditional duration models and non-negative time-series processes

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Q3911791

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Stochastic volatility duration models

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Nonparametric specification tests for conditional duration models

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Data-driven smooth tests for the martingale difference hypothesis

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ASYMPTOTIC DISTRIBUTION-FREE DIAGNOSTIC TESTS FOR HETEROSKEDASTIC TIME SERIES MODELS

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A multiple indicators model for volatility using intra-daily data

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Khmaladze transformation of integrated variance processes with applications to goodness-of-fit testing

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Distribution of the Ratio of the Mean Square Successive Difference to the Variance

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Q3583112

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Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data

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Model checks for regression: an innovation process approach

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full work available at URL

https://doi.org/10.1017/s0266466612000102

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Identifiers

zbMATH Open document ID

1281.62173

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DOI

10.1017/S0266466612000102

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Mathematics Subject Classification ID

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Mathematics(1 entry)

mardi Publication:5397672

@@ Property / author @@
-Mervyn J. Silvapullé
@@ Property / author: Mervyn J. Silvapullé / rank @@
-Normal rank
@@ Property / author @@
+Mervyn J. Silvapullé
@@ Property / author: Mervyn J. Silvapullé / rank @@
+Normal rank
@@ Property / MaRDI profile type @@
+MaRDI publication profile
@@ Property / MaRDI profile type: MaRDI publication profile / rank @@
+Normal rank
@@ Property / cites work @@
+Model diagnosis for parametric regression in high-dimensional spaces
+Normal rank
@@ Property / cites work @@
+The stochastic conditional duration model: a latent variable model for the analysis of financial durations
+Normal rank
@@ Property / cites work @@
+Weak convergence of a self-consistent estimator of the survival function with doubly censored data
+Normal rank
@@ Property / cites work @@
+Q5560061
@@ Property / cites work: Q5560061 / rank @@
+Normal rank
@@ Property / cites work @@
+On a measure of lack of fit in time series models
@@ Property / cites work: On a measure of lack of fit in time series models / rank @@
+Normal rank
@@ Property / cites work @@
+Nonparametric model checks for time series
@@ Property / cites work: Nonparametric model checks for time series / rank @@
+Normal rank
@@ Property / cites work @@
+Conditional variance model checking
@@ Property / cites work: Conditional variance model checking / rank @@
+Normal rank
@@ Property / cites work @@
+Martingale transforms goodness-of-fit tests in regression models.
+Normal rank
@@ Property / cites work @@
+Detecting misspecifications in autoregressive conditional duration models and non-negative time-series processes
+Normal rank
@@ Property / cites work @@
+Q3911791
@@ Property / cites work: Q3911791 / rank @@
+Normal rank
@@ Property / cites work @@
+Stochastic volatility duration models
@@ Property / cites work: Stochastic volatility duration models / rank @@
+Normal rank
@@ Property / cites work @@
+Nonparametric specification tests for conditional duration models
+Normal rank
@@ Property / cites work @@
+Data-driven smooth tests for the martingale difference hypothesis
+Normal rank
@@ Property / cites work @@
+ASYMPTOTIC DISTRIBUTION-FREE DIAGNOSTIC TESTS FOR HETEROSKEDASTIC TIME SERIES MODELS
+Normal rank
@@ Property / cites work @@
+A multiple indicators model for volatility using intra-daily data
+Normal rank
@@ Property / cites work @@
+Khmaladze transformation of integrated variance processes with applications to goodness-of-fit testing
+Normal rank
@@ Property / cites work @@
+Distribution of the Ratio of the Mean Square Successive Difference to the Variance
+Normal rank
@@ Property / cites work @@
+Q3583112
@@ Property / cites work: Q3583112 / rank @@
+Normal rank
@@ Property / cites work @@
+Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data
+Normal rank
@@ Property / cites work @@
+Model checks for regression: an innovation process approach
+Normal rank
@@ Property / full work available at URL @@
+https://doi.org/10.1017/s0266466612000102
+Normal rank
@@ Property / OpenAlex ID @@
+W2155499013
@@ Property / OpenAlex ID: W2155499013 / rank @@
+Normal rank