Goodness-of-fit tests for Log-GARCH and EGARCH models (Q1708360): Difference between revisions

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+GARCH processes: structure and estimation
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+Distribution of Residual Autocorrelations in Autoregressive-Integrated Moving Average Time Series Models
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+ASYMPTOTIC DISTRIBUTION-FREE DIAGNOSTIC TESTS FOR HETEROSKEDASTIC TIME SERIES MODELS
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+SUP-TESTS FOR LINEARITY IN A GENERAL NONLINEAR AR(1) MODEL
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+GARCH models without positivity constraints: exponential or log GARCH?
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+QML ESTIMATION OF A CLASS OF MULTIVARIATE ASYMMETRIC GARCH MODELS
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+EGARCH models with fat tails, skewness and leverage
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+A Model Specification Test For GARCH(1,1) Processes
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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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+On a measure of lack of fit in time series models
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+Testing linearity against smooth transition autoregressive models
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+Conditional Heteroskedasticity in Asset Returns: A New Approach
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+Estimation and inference in univariate and multivariate log-GARCH-X models when the conditional density is unknown
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+Continuous Invertibility and Stable QML Estimation of the EGARCH(1,1) Model
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