Skip to Main Content

Advertisement

MIT Press Direct, home
header search
Search
Advanced Search
Skip Nav Destination

Testing Parametric Conditional Distributions of Dynamic Models

The Review of Economics and Statistics (2003) 85 (3): 531–549.
This article has been cited by the following articles in journals that are participating in Crossref Cited-by Linking.
Negative binomial community network vector autoregression for multivariate integer-valued time series
  • Xiangyu Guo
  • Fukang Zhu
Applied Mathematical Modelling (2024) 134: 713.
From Fixed‐Event to Fixed‐Horizon Density Forecasts: Obtaining Measures of Multihorizon Uncertainty from Survey Density Forecasts
  • GERGELY GANICS
  • BARBARA ROSSI
  • TATEVIK SEKHPOSYAN
Journal of Money, Credit and Banking (2024) 56 (7): 1675.
Specification Tests for GARCH Processes with Nuisance Parameters on the Boundary
  • Giuseppe Cavaliere
  • Indeewara Perera
  • Anders Rahbek
Journal of Business & Economic Statistics (2024) 42 (1): 197.
Softplus negative binomial network autoregression
  • Xiangyu Guo
  • Fukang Zhu
Stat (2024) 13 (1)
A Two-Sample Conditional Distribution Test Using Conformal Prediction and Weighted Rank Sum
  • Xiaoyu Hu
  • Jing Lei
Journal of the American Statistical Association (2024) 119 (546): 1136.
Empirical‐process‐based specification tests for diffusion models
  • Qiang Chen
  • Yuting Gong
  • Xunxiao Wang
Canadian Journal of Statistics (2023) 51 (4): 1055.
Bootstrap specification tests for dynamic conditional distribution models
  • Indeewara Perera
  • Mervyn J. Silvapulle
Journal of Econometrics (2023) 235 (2): 949.
Joint parametric specification checking of conditional mean and volatility in time series models with martingale difference innovations
  • Kilani Ghoudi
  • Naâmane Laïb
  • Mohamed Chaouch
Journal of Nonparametric Statistics (2023) 35 (1): 88.
Maximum likelihood estimation for α-stable double autoregressive models
  • Dong Li
  • Yuxin Tao
  • Yaxing Yang
  • Rongmao Zhang
Journal of Econometrics (2023) 236 (1): 105471.
Testing Error Distribution by Kernelized Stein Discrepancy in Multivariate Time Series Models
  • Donghang Luo
  • Ke Zhu
  • Huan Gong
  • Dong Li
Journal of Business & Economic Statistics (2023) 41 (1): 111.
Mixing mixed frequency and diffusion indices in good times and in bad: an assessment based on historical data around the great recession of 2008
  • Kihwan Kim
  • Hyun Hak Kim
  • Norman R. Swanson
Empirical Economics (2022)
A random walk through Canadian contributions on empirical processes and their applications in probability and statistics
  • Miklós Csörgő
  • Donald A. Dawson
  • Bouchra R. Nasri
  • Bruno N. Rémillard
Canadian Journal of Statistics (2022) 50 (4): 1116.
Distribution-free specification test for volatility function based on high-frequency data with microstructure noise
  • Yinfen Tang
  • Tao Su
  • Zhiyuan Zhang
Metrika (2022) 85 (8): 977.
Specification tests for non‐Gaussian maximum likelihood estimators
  • Gabriele Fiorentini
  • Enrique Sentana
Quantitative Economics (2021) 12 (3): 683.
A specification test for dynamic conditional distribution models with function-valued parameters
  • Victor Troster
  • Dominik Wied
Econometric Reviews (2021) 40 (2): 109.
Permutation test for heterogeneous treatment effects with a nuisance parameter
  • EunYi Chung
  • Mauricio Olivares
Journal of Econometrics (2021) 225 (2): 148.
Justifying Mean-Variance Portfolio Selection when Asset Returns Are Skewed
  • Frank Schuhmacher
  • Hendrik Kohrs
  • Benjamin R. Auer
Management Science (2021) 67 (12): 7812.
Modeling Hydrological Inflow Persistence Using Paleoclimate Reconstructions on the Québec‐Labrador (Canada) Peninsula
  • B. R. Nasri
  • É. Boucher
  • L. Perreault
  • B. N. Rémillard
  • D. Huard
  • A. Nicault
Water Resources Research (2020) 56 (5)
Spectral backtests of forecast distributions with application to risk management
  • Michael B. Gordy
  • Alexander J. McNeil
Journal of Banking & Finance (2020) 116: 105817.
Order‐invariant tests for proper calibration of multivariate density forecasts
  • Jonas Dovern
  • Hans Manner
Journal of Applied Econometrics (2020) 35 (4): 440.
A goodness-of-fit test for copulas based on martingale transformation
  • Xiaohui Lu
  • Xu Zheng
Journal of Econometrics (2020) 215 (1): 84.
Inference for asymmetric exponentially weighted moving average models
  • Dong Li
  • Ke Zhu
Journal of Time Series Analysis (2020) 41 (1): 154.
Copula-based dynamic models for multivariate time series
  • Bouchra R. Nasri
  • Bruno N. Rémillard
Journal of Multivariate Analysis (2019) 172: 107.
Alternative tests for correct specification of conditional predictive densities
  • Barbara Rossi
  • Tatevik Sekhposyan
Journal of Econometrics (2019) 208 (2): 638.
Three Essays on Nonlinear Time-series Econometrics
  • Charles Shaw
SSRN Electronic Journal (2019)
Nonparametric series density estimation and testing
  • Patrick Marsh
Statistical Methods & Applications (2019) 28 (1): 77.
A Khmaladze-transformed test of fit with ML estimation in the presence of recurrent events
  • K. D. Zamba
  • Akim Adekpedjou
Sequential Analysis (2019) 38 (3): 318.
Robust maximum entropy test for GARCH models based on a minimum density power divergence estimator
  • Byungsoo Kim
Economics Letters (2018) 162: 93.
A general approach to conditional moment specification testing with projections
  • Xuexin Wang
Econometric Reviews (2018) 37 (2): 140.
Specification Tests for Time Series Models with GARCH-Type Conditional Variance
  • Indeewara Perera
  • Mervyn J Silvapulle
SSRN Electronic Journal (2018)
The Joint Distributions of Japanese REIT and Equity Markets
  • Charles Shaw
SSRN Electronic Journal (2018)
Predictability of crude oil prices: An investor perspective
  • Li Liu
  • Yudong Wang
  • Li Yang
Energy Economics (2018) 75: 193.
Serial independence tests for innovations of conditional mean and variance models
  • Kilani Ghoudi
  • Bruno Rémillard
TEST (2018) 27 (1): 3.
Copula-Based Dynamic Models for Multivariate Time Series
  • Bouchra R. Nasri
  • Bruno Remillard
SSRN Electronic Journal (2018)
A sequential test for the specification of predictive densities
  • Juan Lin
  • Ximing Wu
The Econometrics Journal (2017) 20 (2): 190.
Weighted simulated integrated conditional moment tests for parametric conditional distributions of stationary time series processes
  • Herman J. Bierens
  • Li Wang
Econometric Reviews (2017) 36 (1-3): 103.
Conditional Heteroskedasticity in Crypto-Asset Returns
  • Charles Shaw
SSRN Electronic Journal (2017)
New goodness-of-fit diagnostics for conditional discrete response models
  • Igor Kheifets
  • Carlos Velasco
Journal of Econometrics (2017) 200 (1): 135.
Option Pricing and Hedging for Discrete Time Autoregressive Hidden Markov Model
  • Massimo Caccia
  • Bruno Remillard
SSRN Electronic Journal (2017)
AN ALMOST CLOSED FORM ESTIMATOR FOR THE EGARCH MODEL
  • Christian M. Hafner
  • Oliver Linton
Econometric Theory (2017) 33 (4): 1013.
Option Pricing and Hedging for Discrete Time Regime-Switching Models
  • Bruno Rémillard
  • Alexandre Hocquard
  • Hugo Lamarre
  • Nicolas Papageorgiou
Modern Economy (2017) 08 (08): 1005.
Backtesting Expected Shortfall: Accounting for Tail Risk
  • Zaichao Du
  • Juan Carlos Escanciano
Management Science (2017) 63 (4): 940.
Goodness-of-Fit Tests for Copulas of Multivariate Time Series
  • Bruno Rémillard
Econometrics (2017) 5 (1): 13.
Variation-based tests for volatility misspecification
  • Alex Papanicolaou
  • Kay Giesecke
Journal of Econometrics (2016) 191 (1): 217.
Nonparametric bootstrap tests for independence of generalized errors
  • Zaichao Du
The Econometrics Journal (2016) 19 (1): 55.
What the investors need to know about forecasting oil futures return volatility
  • Yudong Wang
  • Li Liu
  • Feng Ma
  • Chongfeng Wu
Energy Economics (2016) 57: 128.
Efficient Semi-Parametric Estimation of Non-Gaussian GARCH Processes
  • Frrddric Godin
  • Andrew Luong
SSRN Electronic Journal (2016)
ENTROPY-BASED GOODNESS OF FIT TEST FOR A COMPOSITE HYPOTHESIS
  • Sangyeol Lee
Bulletin of the Korean Mathematical Society (2016) 53 (2): 351.
Maximum entropy test for GARCH models
  • Jiyeon Lee
  • Sangyeol Lee
  • Siyun Park
Statistical Methodology (2015) 22: 8.
PARAMETRIC SPECIFICATION TEST FOR NONLINEAR AUTOREGRESSIVE MODELS
  • Kun Ho Kim
  • Ting Zhang
  • Wei Biao Wu
Econometric Theory (2015) 31 (5): 1078.

Advertisement

  • Online ISSN 1530-9142
  • Print ISSN 0034-6535
A product of The MIT Press
Newsletter sign up

MIT Press Direct

Information

MIT Press

Contact Us

© 2024 The MIT Press
Close Modal
This Feature Is Available To Subscribers Only

or Create an Account

Close Modal
Close Modal
This site uses cookies. By continuing to use our website, you are agreeing to our privacy policy. No content on this site may be used to train artificial intelligence systems without permission in writing from the MIT Press.
Accept