Palgrave Handbook of Econometrics: Applied Econometrics

992 Testing the Martingale Hypothesis 0 5 10 15 20 25 30 35 –0.2 –0.1 0 0.1 0.2 Autocorrelogram Lag j r( j) 0 5 10 15 20 25 30 3 ...

J. Carlos Escanciano and Ignacio N. Lobato 993 0 5 10 15 20 25 30 35 –0.2 0 0.1 0.2 Autocorrelogram Lag j 0 5 10 15 20 25 30 35 ...

994 Testing the Martingale Hypothesis –0.2 r( j) KS ( j) –0.1 0 5 10 15 20 25 30 35 0 0.1 0.2 Autocorrelogram Lag j 0 5 10 15 20 ...

J. Carlos Escanciano and Ignacio N. Lobato 995 r( j) KS ( j) –0.2 –0.1 Lag j Lag j 0 5 10 15 20 25 30 35 0 0.1 0.2 Autocorrelogr ...

996 Testing the Martingale Hypothesis Table 20.5 Testing the MDH of exchange rates returns BootstrapP-values. Generalized spectr ...

J. Carlos Escanciano and Ignacio N. Lobato 997 correctly specified. In this situation, the null hypothesis of interest establish ...

998 Testing the Martingale Hypothesis cannot detect nonlinear dependence. The second approach considered nonlinear measures of d ...

J. Carlos Escanciano and Ignacio N. Lobato 999 Beran, J. (1992) A goodness-of-fit test for time series with long range dependenc ...

1000 Testing the Martingale Hypothesis Durbin, J. and G.S. Watson (1950) Testing for serial correlation in least squares regress ...

J. Carlos Escanciano and Ignacio N. Lobato 1001 Hong, Y. (1999) Hypothesis testing in time series via the empirical characterist ...

1002 Testing the Martingale Hypothesis Liu, R.Y. (1988) Bootstrap procedures under some non-i.i.d. models.Annals of Statistics 1 ...

J. Carlos Escanciano and Ignacio N. Lobato 1003 Yatchew, A.J. (1992) Nonparametric regression tests based on least squares.Econo ...

21 Autoregressive Conditional Duration Models 1 Ruey S. Tsay Abstract This chapter studies the autoregressive conditional durati ...

Ruey S. Tsay 1005 of new information concerning the underlying asset. A cluster of short durations corresponds to active trading ...

1006 Autoregressive Conditional Duration Models xi=ψi (^) i, (21.1) where{ (^) i}is a sequence of independent and identically di ...

Ruey S. Tsay 1007 Forecasts from an EACD model can be obtained using a procedure similar to that of a GARCH model, which in turn ...

1008 Autoregressive Conditional Duration Models whereg=max{p,q}and it is understood thatαj=0 forj>pandβj=0 forj>q. This is ...

Ruey S. Tsay 1009 To overcome this weakness, alternative innovational distributions have been proposed in the literature. Engle ...

1010 Autoregressive Conditional Duration Models 21.2.4 Quasi-maximum likelihood estimates In real applications, the true distrib ...

Ruey S. Tsay 1011 Index sequence Adj-dur 0 1000 2000 3000 (a) Adjusted duration: IBM stock Index sequence Epsilon 0 1000 2000 30 ...