Robust score and portmanteau tests of volatility spillover (Q473342)

scientific article; zbMATH DE number 6372125

Language	Label	Description	Also known as
English	Robust score and portmanteau tests of volatility spillover	scientific article; zbMATH DE number 6372125

Statements

instance of

scholarly article

0 references

title

Robust score and portmanteau tests of volatility spillover (English)

0 references

0 references

0 references

Journal of Econometrics

0 references

publication date

24 November 2014

0 references

zbMATH Keywords

volatility spillover

0 references

heavy tails

0 references

tail trimming

0 references

robust inference

0 references

MaRDI profile type

Publication

0 references

full work available at URL

https://doi.org/10.1016/j.jeconom.2014.09.001

0 references

cites work

Testing for jumps in a discretely observed process

0 references

Testing for jumps in noisy high frequency data

0 references

Testing When a Parameter is on the Boundary of the Maintained Hypothesis

0 references

Robust Estimates of Location: Survey and Advances

0 references

The efficiency of the estimators of the parameters in GARCH processes.

0 references

ESTIMATION OF THE MAXIMAL MOMENT EXPONENT OF A GARCH(1,1) SEQUENCE

0 references

Generalized autoregressive conditional heteroscedasticity

0 references

Jump tails, extreme dependencies, and the distribution of stock returns

0 references

Robust M-estimation of multivariate GARCH models

0 references

Stationarity of GARCH processes and of some nonnegative time series

0 references

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

0 references

Q5525727

0 references

A test for independence based on the correlation dimension

0 references

MIXING AND MOMENT PROPERTIES OF VARIOUS GARCH AND STOCHASTIC VOLATILITY MODELS

0 references

A causality-in-variance test and its application to financial market prices

0 references

Convolution tails, product tails and domains of attraction

0 references

Second-oder noncausality in multivariate GARCH processes

0 references

What portion of the sample makes a partial sum asymptotically stable or normal?

0 references

The extremogram: a correlogram for extreme events

0 references

Limit theory for the sample covariance and correlation functions of moving averages

0 references

Nuisance parameter free properties of correlation integral based statistics

0 references

On the robustness of nonlinearity tests to moment condition failure

0 references

Robust estimation and outlier detection with correlation coefficients

0 references

Temporal Aggregation of Garch Processes

0 references

Distribution-free bounds for serial correlation coefficients in heteroskedastic symmetric time series

0 references

Maximum likelihood estimation of pure GARCH and ARMA-GARCH processes

0 references

MIXING PROPERTIES OF A GENERAL CLASS OF GARCH(1,1) MODELS WITHOUT MOMENT ASSUMPTIONS ON THE OBSERVED PROCESS

0 references

Robust Indirect Inference

0 references

Inference in Arch and Garch Models with Heavy-Tailed Errors

0 references

The Influence Curve and Its Role in Robust Estimation

0 references

Q3723487

0 references

A simple general approach to inference about the tail of a distribution

0 references

On functional central limit theorems for dependent, heterogeneous arrays with applications to tail index and tail dependence estimation

0 references

ON TAIL INDEX ESTIMATION FOR DEPENDENT, HETEROGENEOUS DATA

0 references

Least tail-trimmed squares for infinite variance autoregressions

0 references

Moment condition tests for heavy tailed time series

0 references

A test for volatility spillover with application to exchange rates

0 references

Testing for jumps when asset prices are observed with noise -- a ``swap variance'' approach

0 references

Q4879539

0 references

Redescending \(M\)-estimates of multivariate location and scatter

0 references

Volatility and Links between National Stock Markets

0 references

Infinitesimal robustness for autoregressive processes

0 references

ESTIMATION FOR A NONSTATIONARY SEMI-STRONG GARCH(1,1) MODEL WITH HEAVY-TAILED ERRORS

0 references

Optimal Conditionally Unbiased Bounded-Influence Inference in Dynamic Location and Scale Models

0 references

Temporal aggregation of volatility models

0 references

Limit theory for the sample autocorrelations and extremes of a GARCH \((1,1)\) process.

0 references

Robust estimates for GARCH models

0 references

Robust efficient method of moments

0 references

Volatility forecast comparison using imperfect volatility proxies

0 references

Least absolute deviations estimation for ARCH and GARCH models

0 references

Q4450667

0 references

Q3771297

0 references

Robust inference with GMM estimators

0 references

The asymptotic null distribution of the Box-Pierce \(\mathcal Q\)-statistic for random variables with infinite variance. An application to German stock returns

0 references

High Breakdown Point Conditional Dispersion Estimation with Application to S & P 500 Daily Returns Volatility

0 references

Non-parametric Estimation of Tail Dependence

0 references

Quadratic ARCH Models

0 references

Redescending \(M\)-estimators

0 references

Likelihood Ratio Tests for Model Selection and Non-Nested Hypotheses

0 references

Asymptotic Inference about Predictive Ability

0 references

Estimating covariation: Epps effect, microstructure noise

0 references

Global self-weighted and local quasi-maximum exponential likelihood estimators for ARMA-GARCH/IGARCH models

0 references

Identifiers

zbMATH Open document ID

1332.62294

0 references

Mathematics Subject Classification ID

0 references

0 references

0 references

0 references

0 references

0 references

10.1016/J.JECONOM.2014.09.001

0 references

Sitelinks

Mathematics(1 entry)

mardi Publication:473342