Testing conditional asymmetry: a residual-based approach

DOI10.1016/J.JEDC.2012.03.009MaRDI QIDQ310968zbMATH OpenOpenAlexFDO

Authors Philippe Lambert, Sébastien Laurent, David Veredas

Publication date 28 September 2016

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

Full work available at URL https://doi.org/10.1016/j.jedc.2012.03.009

zbMATH Keywords

residualsrunsconditional asymmetryWald

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70)

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Cites work

• A consistent test for conditional symmetry in time series models
• Analytical derivates of the APARCH model
• Asset allocation under multivariate regime switching
• Asymptotic Inference about Predictive Ability
• Autoregressive Conditional Density Estimation
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• Conditional volatility, skewness, and kurtosis: Existence, persistence, and comovements
• Consistent specification testing for conditional symmetry
• Diagnostic checking for the adequacy of nonlinear time series models
• Estimation of stable distributions by indirect inference
• Indirect Estimation of α-Stable Distributions and Processes
• Indirect estimation of elliptical stable distributions
• Nonparametric tests for conditional symmetry in dynamic models
• On Bayesian Modeling of Fat Tails and Skewness
• Parameter estimation in nonlinear AR-GARCH models
• Residual‐based diagnostics for conditional heteroscedasticity models
• Robust out-of-sample inference
• The Fundamental Approximation Theorem of Portfolio Analysis in terms of Means, Variances and Higher Moments
• The asymptotic effect of substituting estimators for parameters in certain types of statistics
• Validating forecasts of the joint probability density of bond yields: can affine models beat random walk?

Cited in

(9)

• Evaluating multiplicative error models: a residual-based approach
• A test for asymmetry of intra-day returns of stocks
• Testing asymmetry in financial time series
• Residual-based rank specification tests for AR-GARCH type models
• Inference for vast dimensional elliptical distributions
• Contemporaneous asymmetry in GARCH processes
• Asymmetric vector moving average models: estimation and testing
• Testing for symmetry and conditional symmetry using asymmetric kernels
• Testing for Asymmetric Dependence

Describes a project that uses

Uses Software

• CAViaR

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