A specification test for dynamic conditional distribution models with function-valued parameters
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Cites work
- scientific article; zbMATH DE number 5769855 (Why is no real title available?)
- scientific article; zbMATH DE number 3591256 (Why is no real title available?)
- scientific article; zbMATH DE number 765034 (Why is no real title available?)
- scientific article; zbMATH DE number 3385132 (Why is no real title available?)
- A Conditional Kolmogorov Test
- A Lack-of-Fit Test for Quantile Regression
- A NONPARAMETRIC BOOTSTRAP TEST OF CONDITIONAL DISTRIBUTIONS
- A Study of Value‐at‐Risk Based on M‐Estimators of the Conditional Heteroscedastic Models
- A consistent bootstrap test for conditional density functions with time-series data
- A consistent nonparametric test of parametric regression models under conditional quantile restrictions
- A consistent test for multivariate conditional distributions
- A consistent test of conditional parametric distributions
- A reduced form framework for modeling volatility of speculative prices based on realized variation measures
- A simple nonlinear time series model with misleading linear properties
- A unified approach to validating univariate and multivariate conditional distribution models in time series
- An Adaptive, Rate-Optimal Test of Linearity for Median Regression Models
- An Edgeworth expansion for the \(m\) out of \(n\) bootstrapped median
- An Introduction to Functional Central Limit Theorems for Dependent Stochastic Processes
- Backtesting Parametric Value-at-Risk With Estimation Risk
- Bootstrap conditional distribution tests in the presence of dynamic misspecification
- Censored regression quantiles
- Central limit theorems for empirical and U-processes of stationary mixing sequences
- Consistent Testing for Stochastic Dominance under General Sampling Schemes
- Diagnostic checking for the adequacy of nonlinear time series models
- Distribution of Residual Autocorrelations in Autoregressive-Integrated Moving Average Time Series Models
- Distribution-free specification tests of conditional models
- Goodness of Fit and Related Inference Processes for Quantile Regression
- Goodness-of-fit tests for Markovian time series models: central limit theory and bootstrap approximations
- INTEGRATED CONDITIONAL MOMENT TESTS FOR PARAMETRIC CONDITIONAL DISTRIBUTIONS
- Inference on counterfactual distributions
- Inference on the Quantile Regression Process
- Misspecification Testing in a Class of Conditional Distributional Models
- Multivariate Portmanteau Test For Autoregressive Models with Uncorrelated but Nonindependent Errors
- Multivariate specification tests based on a dynamic Rosenblatt transform
- Nonparametric estimation and inference for conditional density based Granger causality measures
- Nonparametric model checks for time series
- On some models for value-at-risk
- Quantile Autoregression
- Regression Quantiles
- Specification analysis of linear quantile models
- Specification tests for nonlinear dynamic models
- Specification tests of parametric dynamic conditional quantiles
- Subsampling
- The Integral of a Symmetric Unimodal Function over a Symmetric Convex Set and Some Probability Inequalities
- The bootstrap for empirical processes based on stationary observations
- Using CAViaR models with implied volatility for value-at-risk estimation
- Weighted simulated integrated conditional moment tests for parametric conditional distributions of stationary time series processes
Cited in
(7)- Specification tests for nonlinear dynamic models
- Bootstrap specification tests for dynamic conditional distribution models
- Flexible specification testing in quantile regression models
- Bootstrap-based goodness-of-fit test for parametric families of conditional distributions
- SPECIFICATION TEST FOR CONDITIONAL DISTRIBUTION WITH FUNCTIONAL DATA
- A unified approach to validating univariate and multivariate conditional distribution models in time series
- Specification tests of parametric dynamic conditional quantiles
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