A goodness-of-fit test for GARCH innovation density (Q434239): Difference between revisions

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+https://doi.org/10.1007/s00184-010-0318-4
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+W2056426493
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+A note on the Bickel\,-\,Rosenblatt test in autoregressive time series
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+GARCH processes: structure and estimation
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+On some global measures of the deviations of density function estimates
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+Strict stationarity of generalized autoregressive processes
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+Stationarity of GARCH processes and of some nonnegative time series
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+Asymptotic properties in ARCH(p)-time series
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+TESTING GOODNESS OF FIT BASED ON DENSITIES OF GARCH INNOVATIONS
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+On the Bickel-Rosenblatt test for first-order autoregressive models
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+Consistency and Asymptotic Normality of the Quasi-Maximum Likelihood Estimator in IGARCH(1,1) and Covariance Stationary GARCH(1,1) Models
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+Convergence in distribution for the sup-norm of a kernel density estimator for GARCH inno\-va\-tions
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