New testing approaches for mean-variance predictability

DOI10.1016/j.jeconom.2020.07.014zbMath1471.62494OpenAlexW2182029991MaRDI QIDQ2658802

Enrique Sentana, Gabriele Fiorentini

Publication date: 24 March 2021

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jeconom.2020.07.014

zbMATH Keywords

robustnessvolatilitymisspecificationfinancial forecastingmoment tests

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Parametric hypothesis testing (62F03)

Related Items (2)

Editorial for the special issue on financial econometrics in the age of the digital economy ⋮ Discrete mixtures of normals pseudo maximum likelihood estimators of structural vector autoregressions

Uses Software

• NAG
• nag
• robustbase

Cites Work

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• Robust Statistics
• Rao's score test with nonparametric density estimators
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