Spectral tests of the martingale hypothesis under conditional heteroscedasticity

By Rohit S. Deo. 2000

122 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/905a6d543e0d306114d7362921dd6354dd0b04a4

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Citations in the corpus

An Automatic Portmanteau Test for Serial Correlation (2009, methodology): “In particular, we compare the new data-driven test based on AQ with the robusti ed Portmanteau Box-Pierce tests Q p for di¤erent choices of p and with the spectral-based test of Deo (2000).”
Diagnostic Checking in ARMA Models With Uncorrelated Errors (2005, methodology): “Extending the work of Durlauf (1991), Deo (2000) considered testing the martingale difference hypothesis in presence of conditional heteroscedasticity.”
Testing the Martingale Difference Hypothesis (2003, background): “Furthermore, boundedness of the fourth moment is also imposed to derive the asymptotic theory for the tests based on the autocorrelations [see Anderson (1993), Box and Pierce (1970), Deo (2000), Durlauf (1991), and Hong (1996)].”
TESTING FOR WHITE NOISE UNDER UNKNOWN DEPENDENCE AND ITS APPLICATIONS TO DIAGNOSTIC CHECKING FOR TIME SERIES MODELS (2010, background): “However, in their conditions (A.1)–(A.6), the white noise process is assumed to be a sequence of martingale differences with additional regularity conditions imposed on the higher order moments (up to eighth); compare Deo (2000).”
The Evolution of Stock Market Efficiency Over Time: A Survey of the Empirical Literature (2011, methodology): “…serial correlation tests (see, for example, Lobato et al., 2002; Horowitz et al., 2006) and spectral-based tests (see, for example, Durlauf, 1991; Deo, 2000), we do not find any applications of these improved statistical tools on stock market data, with McPherson et al. (2005) and McPherson and…”
Goodness-of-Fit Tests for Linear and Nonlinear Time Series Models (2006, background): “This is a well-known result, and to solve this problem, one can robustify the Ljung and Box (1978) test (see, e.g., Deo 2000).”
THE VARIANCE RATIO STATISTIC AT LARGE HORIZONS (2006, methodology): “However, Deo and Richardson (2003) have recently shown that the V R statistic is inconsistent against an important class of mean reverting alternatives under this framework.”
A bootstrap-assisted spectral test of white noise under unknown dependence (2011, methodology): “For the value-weighted returns, we cannot reject the null hypothesis at 5% level for all the tests at all the block sizes, which is consistent with the result obtained by Deo (2000).”
White Noise Testing and Model Diagnostic Checking for Functional Time Series (2016, unknown): “Deo, 2000, among others).”
Testing for linear vector autoregressive dynamics under multivariate generalized autoregressive heteroskedasticity (2009, methodology): “For example, Deo (2000) uses a frequency domain approach to test the martingale hypothesis.”
Generalized spectral tests for the martingale difference hypothesis (2006, methodology): “A1(b) only assumes finite variance in contrast with the eighth moment necessary in Durlauf (1991) and Deo (2000) or the fourth moment in Hong and Lee (2003, 2005). The choice of the weighting function W ð Þ has implications on the power performance of the test. The optimal choice of W ð Þ depends on”