A contagion test with unspecified heteroscedastic errors

DOI10.1016/J.JEDC.2023.104804MaRDI QIDQ6558558FDOQ6558558

Authors: Ernest Aboagye, Stanley Iat-Meng Ko, Chia Chun Lo, Cody Yu-Ling Hsiao, Liang Peng 

Publication date: 19 June 2024

Published in: Journal of Economic Dynamics and Control (Search for Journal in Brave)

zbMATH Keywords

heteroscedasticityvariance estimationcontagion test

Mathematics Subject Classification ID

Game theory, economics, finance, and other social and behavioral sciences (91-XX)

Cites Work

• The jackknife and the bootstrap for general stationary observations
• The use of subseries values for estimating the variance of a general statistic from a stationary sequence
• Estimation of the variance of partial sums for \(\rho\)-mixing random variables
• LADE-based inference for ARMA models with unspecified and heavy-tailed heteroscedastic noises
• A new class of tests of contagion with applications
• Estimation of the variance for strongly mixing sequences
• Joint tests of contagion with applications
• A regime switching skew-normal model of contagion
• Extremal dependence tests for contagion

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