Fourier–type tests involving martingale difference processes-Reference-Cited by-同舟云学术

Fourier–type tests involving martingale difference processes

Published:2014-10-20 Issue:4 Volume:36 Page:468-492
ISSN:0747-4938
Container-title:Econometric Reviews
language:en
Short-container-title:Econometric Reviews

Author:

Hlávka Zdeněk¹,Hušková Marie¹,Kirch Claudia²,Meintanis Simos G.³

Affiliation:

1. Department of Statistics, Charles University in Prague, Faculty of Mathematics and Physics, Prague, Czech Republic

2. Karlsruhe Institute of Technology, Institute of Stochastics, Karlsruhe, Germany

3. Department of Economics, National and Kapodistrian University of Athens, Athens, Greece, and Unit for Business Mathematics and Informatics, North–West University, Potchefstroom, South Africa*

Publisher

Informa UK Limited

Subject

Economics and Econometrics

Link

https://www.tandfonline.com/doi/pdf/10.1080/07474938.2014.977074

Reference62 articles.

1. Asymmetric Predictive Abilities of Nonlinear Models for Stock Returns: Evidence from Density Forecast Comparison

2. Consistent model specification tests

3. Asymptotic Theory of Integrated Conditional Moment Tests

4. INTEGRATED CONDITIONAL MOMENT TESTS FOR PARAMETRIC CONDITIONAL DISTRIBUTIONS

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