Moment condition tests for heavy tailed time series
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Cites work
- scientific article; zbMATH DE number 3824949 (Why is no real title available?)
- scientific article; zbMATH DE number 4030574 (Why is no real title available?)
- scientific article; zbMATH DE number 3662269 (Why is no real title available?)
- scientific article; zbMATH DE number 1026574 (Why is no real title available?)
- A Consistent Conditional Moment Test of Functional Form
- A parametric bootstrap for heavy-tailed distributions
- A score based approach to wild bootstrap inference
- A simple general approach to inference about the tail of a distribution
- A test for independence based on the correlation dimension
- A test for volatility spillover with application to exchange rates
- Are there common values in first-price auctions? A tail-index nonparametric test
- Bootstrap Critical Values for Tests Based on Generalized-Method-of-Moments Estimators
- Bootstrap Methods
- Bootstrap of the mean in the infinite variance case
- Bootstrap procedures under some non-i.i.d. models
- Bootstrapping general empirical measures
- Bootstrapping the Box-Pierce \(Q\) test: a robust test of uncorrelatedness
- Bootstrapping the Student \(t\)-statistic
- Central limit theorems for empirical measures
- Concepts de dépendance et ordres stochastiques pour des lois bidimensionnelles
- Consequences and Detection of Misspecified Nonlinear Regression Models
- Consistency of Kernel Estimators of Heteroscedastic and Autocorrelated Covariance Matrices
- Convergence of stochastic processes
- ESTIMATION FOR A NONSTATIONARY SEMI-STRONG GARCH(1,1) MODEL WITH HEAVY-TAILED ERRORS
- Efficient minimum distance estimation with multiple rates of convergence
- Empirical Likelihood-Based Inference in Conditional Moment Restriction Models
- Estimates of Regression Coefficients Based on the Sign Covariance Matrix
- Extreme Values in Finance, Telecommunications, and the Environment
- Extremes and related properties of random sequences and processes
- General trimmed estimation: robust approach to nonlinear and limited dependent variable models
- Inference When a Nuisance Parameter Is Not Identified Under the Null Hypothesis
- Inference in Arch and Garch Models with Heavy-Tailed Errors
- Information Theoretic Approaches to Inference in Moment Condition Models
- Invariance principles for absolutely regular empirical processes
- Large Sample Properties of Generalized Method of Moments Estimators
- Least absolute deviations estimation for ARCH and GARCH models
- Limit theory for the sample covariance and correlation functions of moving averages
- Linear prediction of ARMA processes with infinite variance
- M-estimation for autoregression with infinite variance
- MIXING PROPERTIES OF A GENERAL CLASS OF GARCH(1,1) MODELS WITHOUT MOMENT ASSUMPTIONS ON THE OBSERVED PROCESS
- Maximum Likelihood Estimation of Misspecified Models
- Maximum Likelihood Specification Testing and Conditional Moment Tests
- ON TAIL INDEX ESTIMATION FOR DEPENDENT, HETEROGENEOUS DATA
- On functional central limit theorems for dependent, heterogeneous arrays with applications to tail index and tail dependence estimation
- On the asymptotic behaviour of the moving block bootstrap for normalized sums of heavy-tail random variables
- On the robustness of nonlinearity tests to moment condition failure
- Rank tests for unit roots
- Regular variation of GARCH processes.
- Self-Weighted Least Absolute Deviation Estimation for Infinite Variance Autoregressive Models
- Self-weighted and local quasi-maximum likelihood estimators for ARMA-GARCH/IGARCH models
- Simulation and the Asymptotics of Optimization Estimators
- Some mixing properties of time series models
- Specification Tests in Econometrics
- Structural change tests for simulated method of moments.
- Sums, Trimmed sums and extremes
- THE BOOTSTRAP OF THE MEAN FOR DEPENDENT HETEROGENEOUS ARRAYS
- Tail Behavior of Regression Estimators and their Breakdown Points
- Tail and nontail memory with applications to extreme value and robust statistics
- Testing normality: a GMM approach
- Tests for cointegration with infinite variance errors
- The Bierens test under data dependence
- The Durbin-Watson ratio under infinite-variance errors
- The asymptotic null distribution of the Box-Pierce \(\mathcal Q\)-statistic for random variables with infinite variance. An application to German stock returns
- The bootstrap of the mean with arbitrary bootstrap sample size
- The extremogram: a correlogram for extreme events
- The multivariate least-trimmed squares estimator
Cited in
(12)- New fat-tail normality test based on conditional second moments with applications to finance
- Bimodal \(t\)-ratios: the impact of thick tails on inference
- Robust estimation and inference for heavy tailed GARCH
- Testing for (in)finite moments
- GEL estimation for heavy-tailed GARCH models with robust empirical likelihood inference
- Robust generalized empirical likelihood for heavy tailed autoregressions with conditionally heteroscedastic errors
- Robustness of Bootstrap in Instrumental Variable Regression
- ON THE CAUSALITY TEST IN TIME SERIES MODELS WITH HEAVY-TAILED DISTRIBUTION
- A smoothed \(p\)-value test when there is a nuisance parameter under the alternative
- Weighted simulated integrated conditional moment tests for parametric conditional distributions of stationary time series processes
- On the measurement and treatment of extremes in time series
- Robust score and portmanteau tests of volatility spillover
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