Extremal Dependence-Based Specification Testing of Time Series-Reference-Cited by-同舟云学术

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Extremal Dependence-Based Specification Testing of Time Series

Published:2022-10-11 Issue: Volume: Page:1-14
ISSN:0735-0015
Container-title:Journal of Business & Economic Statistics
language:en
Short-container-title:Journal of Business & Economic Statistics

Author:

Hoga Yannick¹^ORCID

Affiliation:

1. Faculty of Economics and Business Administration, University of Duisburg-Essen, Essen, Germany

Funder

Deutsche Forschungsgemeinschaft

German Research Foundation

Publisher

Informa UK Limited

Subject

Statistics, Probability and Uncertainty,Economics and Econometrics,Social Sciences (miscellaneous),Statistics and Probability

Link

https://www.tandfonline.com/doi/pdf/10.1080/07350015.2022.2120483

Reference57 articles.

1. The integral of a symmetric unimodal function over a symmetric convex set and some probability inequalities

2. Basel Committee on Banking Supervision (2019), Basel Framework, Basel: Bank for International Settlements. Available at https://www.bis.org/basel_framework/index.htm?export=pdf.

3. ASYMPTOTICS FOR GARCH SQUARED RESIDUAL CORRELATIONS

4. Distribution of Residual Autocorrelations in Autoregressive-Integrated Moving Average Time Series Models

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1. Simulation Framework to Determine Suitable Innovations for Volatility Persistence Estimation: The GARCH Approach;Journal of Risk and Financial Management;2023-09-01

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