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

DOI10.1016/J.JECONOM.2005.01.034zbMATH Open1337.62257OpenAlexW2098215355MaRDI QIDQ269399FDOQ269399

Authors: Jean-Marie Dufour, Abdeljelil Farhat, 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

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zbMATH Keywords

heterogeneityheteroskedasticityautocorrelationexact testrobustnesslarge deviationsnonparametric testdistribution-free testboundserial dependencesymmetric distributionChebyshev inequalityexponential boundinterest ratesBerry-Esséen

Mathematics Subject Classification ID

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

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Cited In (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

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