Robust score and portmanteau tests of volatility spillover (Q473342)

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English	Robust score and portmanteau tests of volatility spillover	scientific article

Statements

scholarly article

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Robust score and portmanteau tests of volatility spillover (English)

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Jonathan B. Hill

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Journal of Econometrics

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publication date

24 November 2014

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zbMATH Keywords

volatility spillover

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heavy tails

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tail trimming

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robust inference

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MaRDI profile type

MaRDI publication profile

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full work available at URL

https://doi.org/10.1016/j.jeconom.2014.09.001

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Testing for jumps in a discretely observed process

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Testing for jumps in noisy high frequency data

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Testing When a Parameter is on the Boundary of the Maintained Hypothesis

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Robust Estimates of Location: Survey and Advances

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The efficiency of the estimators of the parameters in GARCH processes.

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ESTIMATION OF THE MAXIMAL MOMENT EXPONENT OF A GARCH(1,1) SEQUENCE

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Generalized autoregressive conditional heteroscedasticity

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Jump tails, extreme dependencies, and the distribution of stock returns

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Robust M-estimation of multivariate GARCH models

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Stationarity of GARCH processes and of some nonnegative time series

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

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A test for independence based on the correlation dimension

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MIXING AND MOMENT PROPERTIES OF VARIOUS GARCH AND STOCHASTIC VOLATILITY MODELS

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A causality-in-variance test and its application to financial market prices

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Convolution tails, product tails and domains of attraction

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Second-Order Noncausality in Multivariate GARCH Processes

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What portion of the sample makes a partial sum asymptotically stable or normal?

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The extremogram: a correlogram for extreme events

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Limit theory for the sample covariance and correlation functions of moving averages

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Nuisance parameter free properties of correlation integral based statistics

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On the robustness of nonlinearity tests to moment condition failure

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Robust estimation and outlier detection with correlation coefficients

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Temporal Aggregation of Garch Processes

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Distribution-free bounds for serial correlation coefficients in heteroskedastic symmetric time series

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Maximum likelihood estimation of pure GARCH and ARMA-GARCH processes

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MIXING PROPERTIES OF A GENERAL CLASS OF GARCH(1,1) MODELS WITHOUT MOMENT ASSUMPTIONS ON THE OBSERVED PROCESS

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Robust Indirect Inference

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Inference in Arch and Garch Models with Heavy-Tailed Errors

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The Influence Curve and Its Role in Robust Estimation

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A simple general approach to inference about the tail of a distribution

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On functional central limit theorems for dependent, heterogeneous arrays with applications to tail index and tail dependence estimation

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ON TAIL INDEX ESTIMATION FOR DEPENDENT, HETEROGENEOUS DATA

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Least tail-trimmed squares for infinite variance autoregressions

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Moment condition tests for heavy tailed time series

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A test for volatility spillover with application to exchange rates

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Testing for jumps when asset prices are observed with noise -- a ``swap variance'' approach

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Redescending \(M\)-estimates of multivariate location and scatter

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Volatility and Links between National Stock Markets

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Infinitesimal robustness for autoregressive processes

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Extremes and related properties of random sequences and processes

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ESTIMATION FOR A NONSTATIONARY SEMI-STRONG GARCH(1,1) MODEL WITH HEAVY-TAILED ERRORS

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Optimal Conditionally Unbiased Bounded-Influence Inference in Dynamic Location and Scale Models

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Temporal aggregation of volatility models

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Limit theory for the sample autocorrelations and extremes of a GARCH \((1,1)\) process.

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Robust estimates for GARCH models

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Robust efficient method of moments

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Volatility forecast comparison using imperfect volatility proxies

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Least absolute deviations estimation for ARCH and GARCH models

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Robust inference with GMM estimators

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The asymptotic null distribution of the Box-Pierce \(\mathcal Q\)-statistic for random variables with infinite variance. An application to German stock returns

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High Breakdown Point Conditional Dispersion Estimation with Application to S & P 500 Daily Returns Volatility

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Non-parametric Estimation of Tail Dependence

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Quadratic ARCH Models

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Redescending \(M\)-estimators

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Likelihood Ratio Tests for Model Selection and Non-Nested Hypotheses

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Asymptotic Inference about Predictive Ability

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Estimating covariation: Epps effect, microstructure noise

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Global self-weighted and local quasi-maximum exponential likelihood estimators for ARMA-GARCH/IGARCH models

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Identifiers

zbMATH Open document ID

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10.1016/j.jeconom.2014.09.001

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Mathematics Subject Classification ID

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zbMATH DE Number

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Sitelinks

Mathematics(1 entry)

mardi Publication:473342

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