Generalized Spectral Tests for Conditional Mean Models in Time Series with Conditional Heteroscedasticity of Unknown Form

By Yongmiao Hong, Yoon-Jin Lee. 2005

111 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/c64684116ea661f39ab897d91d43eeba482bbd50

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Economics and Econometrics

1. K. Lim
2. Jae Hyun Kim
3. Wei Luo
4. R. Brooks
5. Juan-Carlos Escanciano
6. Esther Ruiz
7. Saralees Nadarajah
8. Wenceslao González-Manteiga

In Finance

1. K. Lim
2. Wei Luo
3. R. Brooks
4. Jae Hyun Kim
5. Juan-Carlos Escanciano
6. Victor Troster
7. Esther Ruiz
8. Saralees Nadarajah

Citations in the corpus

• Goodness-of-Fit Tests for Linear and Nonlinear Time Series Models (2006, methodology): “We compare our tests with the test of Bierens (1982), the generalized spectral test of Hong and Lee (2005), the multivariate bootstrap version of Koul and Stute (1999) proposed by Escanciano (2004), and the usual Portmanteau test of Ljung and Box (1978).”
• Model Checks Using Residual Marked Empirical Processes (2004, background): “Whereas in a time series context some examples are Bierens (1984), Li (1999), de Jong (1996), Bierens and Ploberger (1997), Koul and Stute (1999), Chen, Härdle and Li (2003), Escanciano (2006), Hong and Lee (2005) and Guerre and Guay (2005).”
• Financial crisis and stock market efficiency: Empirical evidence from Asian countries (2008, background): “Jefferis and Smith (2005) related the changing degree of weak-form efficiency at different stages of development to market turnover, capitalisation and institutional characteristics of the stock markets.”
• Are US stock index returns predictable? Evidence from automatic autocorrelation-based tests (2013, background): “Moreover, Hong and Lee ( 2005 ) highlight that the EMH has implications on and only on the conditional mean, but it does not impose any restrictions on the dynamics in conditional variance and other higher order conditional moments.”
• The Evolution of Stock Market Efficiency Over Time: A Survey of the Empirical Literature (2011, background): “…or equivalently, whether stock prices follow a martingale Journal of Economic Surveys (2011) Vol. 25, No. 1, pp. 69–108 C© 2010 Blackwell Publishing Ltd process (see Hinich and Patterson, 1992; Domı́nguez and Lobato, 2003; Kuan and Lee, 2004; Hong and Lee, 2005; Escanciano and Velasco, 2006a, b).”