Comparison of specification tests for GARCH models (Q1623530): Difference between revisions

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+The weighted bootstrap
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+The efficiency of the estimators of the parameters in GARCH processes.
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+ASYMPTOTICS FOR GARCH SQUARED RESIDUAL CORRELATIONS
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+A weighted goodness-of-fit test for GARCH(1,1) specification
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+Weak convergence of the sample distribution function when parameters are estimated
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+Validity of the parametric bootstrap for goodness-of-fit testing in semiparametric models
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+LARGE SAMPLE DISTRIBUTION OF WEIGHTED SUMS OF ARCH(<i>p</i>)  SQUARED RESIDUAL CORRELATIONS
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+Bootstrap misspecification tests for ARCH based on the empirical process of squared residuals
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+A Test for Normality of Observations and Regression Residuals
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+An innovation approach to goodness-of-fit tests in \(R^ m\)
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+Goodness of fit problem and scanning innovation martingales
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+Specification tests for the error distribution in GARCH models
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+Goodness-of-fit testing based on a weighted bootstrap: A fast large-sample alternative to the parametric bootstrap
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+High moment partial sum processes of residuals in GARCH models and their applications
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+ON THE SQUARED RESIDUAL AUTOCORRELATIONS IN NON-LINEAR TIME SERIES WITH CONDITIONAL HETEROSKEDASTICITY
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+On Fractionally Integrated Autoregressive Moving-Average Time Series Models With Conditional Heteroscedasticity
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+Finite-sample bootstrap inference in GARCH models with heavy-tailed innovations
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+Q3395931
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+Bootstrap based goodness-of-fit-tests
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+Weak convergence and empirical processes. With applications to statistics
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