Detecting misspecifications in autoregressive conditional duration models and non-negative time-series processes (Q4979076): Difference between revisions

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scientific article; zbMATH DE number 6304750

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English	Detecting misspecifications in autoregressive conditional duration models and non-negative time-series processes	scientific article; zbMATH DE number 6304750

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instance of

scholarly article

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title

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

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Journal of Time Series Analysis

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publication date

16 June 2014

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zbMATH Keywords

autoregressive conditional duration

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dispersion clustering

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finite sample correction

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generalized spectral derivative

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nonlinear time series

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parameter estimation uncertainty

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Wooldridge's device

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MaRDI profile type

MaRDI publication profile

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full work available at URL

https://doi.org/10.1111/j.1467-9892.2010.00681.x

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cites work

Stochastic Comparison of Tests

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Distribution of Residual Autocorrelations in Autoregressive-Integrated Moving Average Time Series Models

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An Introduction to Polyspectra

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Q5540025

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Q5540026

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Evaluating financial time series models for irregularly spaced data: a spectral density approach

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The Econometrics of Ultra-high-frequency Data

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

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Goodness-of-Fit Tests for Linear and Nonlinear Time Series Models

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Generalized spectral tests for the martingale difference hypothesis

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Nonparametric specification tests for conditional duration models

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A family of autoregressive conditional duration models

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Consistent Testing for Serial Correlation of Unknown Form

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One‐sided testing for conditional heteroskedasticity in time series models

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Hypothesis Testing in Time Series via the Empirical Characteristic Function: A Generalized Spectral Density Approach

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Generalized Spectral Tests for Conditional Mean Models in Time Series with Conditional Heteroscedasticity of Unknown Form

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Bootstrap Methods for Markov Processes

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Q3999328

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On the residual autocorrelation of the autoregressive conditional duration model

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A NECESSARY AND SUFFICIENT CONDITION FOR THE STRICT STATIONARITY OF A FAMILY OF GARCH PROCESSES

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Conditional Heteroskedasticity in Asset Returns: A New Approach

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Q3323077

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An encompassing approach to conditional mean tests with applications to testing nonnested hypotheses

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On the application of robust, regression-based diagnostics to models of conditional means and conditional variances

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A nonlinear autoregressive conditional duration model with applications to financial transaction data

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Identifiers

zbMATH Open document ID

1290.62076

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DOI

10.1111/j.1467-9892.2010.00681.x

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Mathematics Subject Classification ID

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Sitelinks

Mathematics(1 entry)

mardi Publication:4979076

@@ Property / cites work @@
+Stochastic Comparison of Tests
@@ Property / cites work: Stochastic Comparison of Tests / rank @@
+Normal rank
@@ Property / cites work @@
+Distribution of Residual Autocorrelations in Autoregressive-Integrated Moving Average Time Series Models
+Normal rank
@@ Property / cites work @@
+An Introduction to Polyspectra
@@ Property / cites work: An Introduction to Polyspectra / rank @@
+Normal rank
@@ Property / cites work @@
+Q5540025
@@ Property / cites work: Q5540025 / rank @@
+Normal rank
@@ Property / cites work @@
+Q5540026
@@ Property / cites work: Q5540026 / rank @@
+Normal rank
@@ Property / cites work @@
+Evaluating financial time series models for irregularly spaced data: a spectral density approach
+Normal rank
@@ Property / cites work @@
+The Econometrics of Ultra-high-frequency Data
@@ Property / cites work: The Econometrics of Ultra-high-frequency Data / rank @@
+Normal rank
@@ Property / cites work @@
+Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data
+Normal rank
@@ Property / cites work @@
+Goodness-of-Fit Tests for Linear and Nonlinear Time Series Models
+Normal rank
@@ Property / cites work @@
+Generalized spectral tests for the martingale difference hypothesis
+Normal rank
@@ Property / cites work @@
+Nonparametric specification tests for conditional duration models
+Normal rank
@@ Property / cites work @@
+A family of autoregressive conditional duration models
+Normal rank
@@ Property / cites work @@
+Consistent Testing for Serial Correlation of Unknown Form
+Normal rank
@@ Property / cites work @@
+One‐sided testing for conditional heteroskedasticity in time series models
+Normal rank
@@ Property / cites work @@
+Hypothesis Testing in Time Series via the Empirical Characteristic Function: A Generalized Spectral Density Approach
+Normal rank
@@ Property / cites work @@
+Generalized Spectral Tests for Conditional Mean Models in Time Series with Conditional Heteroscedasticity of Unknown Form
+Normal rank
@@ Property / cites work @@
+Bootstrap Methods for Markov Processes
@@ Property / cites work: Bootstrap Methods for Markov Processes / rank @@
+Normal rank
@@ Property / cites work @@
+Q3999328
@@ Property / cites work: Q3999328 / rank @@
+Normal rank
@@ Property / cites work @@
+On the residual autocorrelation of the autoregressive conditional duration model
+Normal rank
@@ Property / cites work @@
+A NECESSARY AND SUFFICIENT CONDITION FOR THE STRICT STATIONARITY OF A FAMILY OF GARCH PROCESSES
+Normal rank
@@ Property / cites work @@
+Conditional Heteroskedasticity in Asset Returns: A New Approach
+Normal rank
@@ Property / cites work @@
+Q3323077
@@ Property / cites work: Q3323077 / rank @@
+Normal rank
@@ Property / cites work @@
+An encompassing approach to conditional mean tests with applications to testing nonnested hypotheses
+Normal rank
@@ Property / cites work @@
+On the application of robust, regression-based diagnostics to models of conditional means and conditional variances
+Normal rank
@@ Property / cites work @@
+A nonlinear autoregressive conditional duration model with applications to financial transaction data
+Normal rank