Generalized Spectral Tests for Multivariate Martingale Difference Hypotheses
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Cites work
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- TESTING FOR ZERO AUTOCORRELATION IN THE PRESENCE OF STATISTICAL DEPENDENCE
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- Testing serial correlations in high-dimensional time series via extreme value theory
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- Testing the Martingale Difference Hypothesis
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- The Multivariate Portmanteau Statistic
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- Wild bootstrapping variance ratio tests
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