On the robustness of nonlinearity tests to moment condition failure
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Publication:1362039
DOI10.1016/0304-4076(95)01791-7zbMATH Open0873.62126OpenAlexW2046325355MaRDI QIDQ1362039FDOQ1362039
Publication date: 3 August 1997
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/0304-4076(95)01791-7
misspecificationsimulation studyheavy-tailed distributionsstock returnsconditional variancenonexistence of momentsmoment condition failuretesting nonlinearities
Cites Work
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Cited In (12)
- Time-irreversibility test for random-length time series: the matching-time approach applied to DNA
- A functional conditional symmetry test for a GARCH-SM model: Power asymptotic properties
- Estimation of the maximal moment exponent with censored data
- A Quantile‐based Test for Symmetry of Weakly Dependent Processes
- Testing asymmetry in financial time series
- A nonparametric test of the mixture-of-distributions model
- Portmanteau tests for linearity of stationary time series
- Time reversibility tests of volume-volatility dynamics for stock returns
- Testing time reversibility without moment restrictions
- Robust score and portmanteau tests of volatility spillover
- Linear and nonlinear dependence in Turkish equity returns and its consequences for financial risk management
- Moment condition tests for heavy tailed time series
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