Generalized spectral tests for the martingale difference hypothesis
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Cites work
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Cited in
(54)- Testing the martingale difference hypothesis using integrated regression functions
- Spectral based testing of the martingale hypothesis
- A martingale-difference-divergence-based test for specification
- Model checks for nonlinear cointegrating regression
- Adaptive market hypothesis and evolving predictability of bitcoin
- Spectral tests of the martingale hypothesis under conditional heteroscedasticity
- Statistical dependence: beyond Pearson's
- Estimation of time series models using residuals dependence measures
- Data-driven smooth tests for the martingale difference hypothesis
- A unified approach to validating univariate and multivariate conditional distribution models in time series
- White noise testing and model diagnostic checking for functional time series
- A warp-speed method for conducting Monte Carlo experiments involving bootstrap estimators
- Joint and marginal specification tests for conditional mean and variance models
- Market efficiency of the post communist East European stock markets
- A New Test of the Martingale Difference Hypothesis
- A model specification test for GARCH(1,1) processes
- On the lack of power of omnibus specification tests
- Asymptotic distribution-free diagnostic tests for heteroskedastic time series models
- A monte carlo analysis of two spectral tests of the martingale hypothesis
- An updated review of goodness-of-fit tests for regression models
- A NEW DIAGNOSTIC TEST OF MODEL INADEQUACY WHICH USES THE MARTINGALE DIFFERENCE CRITERION
- Testing the Martingale Difference Hypothesis
- A closer look at return predictability of the US stock market: evidence from new panel variance ratio tests
- A generalized moving average convergence/divergence for testing semi-strong market efficiency
- Tests of the martingale difference hypothesis using boosting and RBF neural network approximations
- A bootstrapped spectral test for adequacy in weak ARMA models
- Detecting misspecifications in autoregressive conditional duration models and non-negative time-series processes
- Testing whether the underlying continuous-time process follows a diffusion: an infinitesimal operator-based approach
- Tests for \(m\)-dependence based on sample splitting methods
- Testing for Granger-causality in quantiles
- A nonparametric distribution-free test for serial independence of errors
- Fourier–type tests involving martingale difference processes
- Weighted simulated integrated conditional moment tests for parametric conditional distributions of stationary time series processes
- Novel specification tests for synchronous additive concurrent model formulation based on martingale difference divergence
- A new generalized exponentially weighted moving average quantile model and its statistical inference
- SYMARFIMA: a dynamical model for conditionally symmetric time series with long range dependence mean structure
- Testing the martingale difference hypothesis in high dimension
- Small sample properties of alternative tests for martingale difference hypothesis
- Measuring Asset Market Linkages: Nonlinear Dependence and Tail Risk
- Multifrequency-Band Tests for White Noise Under Heteroscedasticity
- Testing for the Martingale Difference Hypothesis in Multivariate Time Series Models
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- A Gaussian process approach to model checks
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- Directional predictability tests
- Positive time series regression models: theoretical and computational aspects
- Specifications tests for count time series models with covariates
- Generalized Spectral Tests for Multivariate Martingale Difference Hypotheses
- Specification tests of parametric dynamic conditional quantiles
- A bootstrap-assisted spectral test of white noise under unknown dependence
- Generalized ARMA models with martingale difference errors
- Weak convergence of non-stationary multivariate marked processes with applications to martingale testing
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