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

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-Hira L. Koul
@@ Property / author: Hira L. Koul / rank @@
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+Hira L. Koul
@@ Property / author: Hira L. Koul / rank @@
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+G10
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+M10
@@ Property / Mathematics Subject Classification ID: 62M10 / rank @@
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+G07
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+G20
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+C60
@@ Property / Mathematics Subject Classification ID: 65C60 / rank @@
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+6053965
@@ Property / zbMATH DE Number: 6053965 / rank @@
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+https://doi.org/10.1007/s00184-010-0318-4
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+W2056426493
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@@ Property / cites work @@
+A note on the Bickel\,-\,Rosenblatt test in autoregressive time series
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@@ Property / cites work @@
+GARCH processes: structure and estimation
@@ Property / cites work: GARCH processes: structure and estimation / rank @@
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@@ Property / cites work @@
+On some global measures of the deviations of density function estimates
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@@ Property / cites work @@
+Strict stationarity of generalized autoregressive processes
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@@ Property / cites work @@
+Stationarity of GARCH processes and of some nonnegative time series
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@@ Property / cites work @@
+Asymptotic properties in ARCH(p)-time series
@@ Property / cites work: Asymptotic properties in ARCH(p)-time series / rank @@
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@@ Property / cites work @@
+TESTING GOODNESS OF FIT BASED ON DENSITIES OF GARCH INNOVATIONS
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@@ Property / cites work @@
+On the Bickel-Rosenblatt test for first-order autoregressive models
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@@ Property / cites work @@
+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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@@ Property / cites work @@
+Convergence in distribution for the sup-norm of a kernel density estimator for GARCH inno\-va\-tions
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@@ links / mardi / name / links / mardi / name @@
+Publication:434239