Distribution-free bounds for serial correlation coefficients in heteroskedastic symmetric time series

DOI10.1016/j.jeconom.2005.01.034zbMath1337.62257OpenAlexW2098215355MaRDI QIDQ269399

Abdeljelil Farhat, Jean-Marie Dufour, Marc Hallin

Publication date: 18 April 2016

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

Full work available at URL: https://cirano.qc.ca/files/publications/2005s-04.pdf

zbMATH Keywords

robustnessheterogeneitylarge deviationsinterest ratesboundexponential boundautocorrelationdistribution-free testsymmetric distributionnonparametric testserial dependenceBerry-EsséenChebyshev inequalityexact testheteroskedasticity

Mathematics Subject Classification ID

Nonparametric hypothesis testing (62G10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inequalities; stochastic orderings (60E15) Applications of statistics to actuarial sciences and financial mathematics (62P05) Non-Markovian processes: hypothesis testing (62M07)

Related Items (3)

Distribution-free bounds for serial correlation coefficients in heteroskedastic symmetric time series ⋮ Robust score and portmanteau tests of volatility spillover ⋮ Regression discontinuity designs, white noise models, and minimax

Cites Work

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