Simultaneous specification testing of mean and variance structures in nonlinear time series regression
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Cited in
(11)- An adaptive empirical likelihood test for parametric time series regression models
- SPECIFICATION TESTING IN NONLINEAR TIME SERIES WITH LONG-RANGE DEPENDENCE
- Asymptotically distribution-free tests for the volatility function of a diffusion
- A simultaneous test for conditional mean and conditional variance functions in time series models with martingale difference innovations
- A joint test for parametric specification and independence in nonlinear regression models
- Joint parametric specification checking of conditional mean and volatility in time series models with martingale difference innovations
- Bootstrap specification tests for dynamic conditional distribution models
- Empirical‐process‐based specification tests for diffusion models
- Semiparametric Estimation of Risk–Return Relationships
- A goodness-of-fit test for functional time series with applications to Ornstein-Uhlenbeck processes
- A comparative review of specification tests for diffusion models
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