Tests for conditional ellipticity in multivariate GARCH models (Q503569): Difference between revisions

From MaRDI portal

Jump to:navigation, search

Latest revision as of 19:39, 9 December 2024

scientific article

Language	Label	Description	Also known as
English	Tests for conditional ellipticity in multivariate GARCH models	scientific article

Statements

scholarly article

0 references

Tests for conditional ellipticity in multivariate GARCH models (English)

0 references

Christian Francq

0 references

Simos G. Meintanis

0 references

M. Dolores Jiménez-Gamero

0 references

Journal of Econometrics

0 references

publication date

13 January 2017

0 references

zbMATH Keywords

MGARCH

0 references

spherical symmetry

0 references

empirical characteristic function

0 references

conditional Monte Carlo test

0 references

extended CCC-GARCH

0 references

MaRDI profile type

MaRDI publication profile

0 references

full work available at URL

https://doi.org/10.1016/j.jeconom.2016.10.001

0 references

The centred parametrization for the multivariate skew-normal distribution

0 references

Testing multivariate distributions in GARCH models

0 references

A consistent test for conditional symmetry in time series models

0 references

Asymptotic normality of the quasi-maximum likelihood estimator for multidimensional causal processes

0 references

Testing for spherical symmetry of a multivariate distribution

0 references

Nonparametric estimation of multivariate elliptic densities via finite mixture sieves

0 references

Testing for ellipsoidal symmetry of a multivariate density

0 references

Necessary conditions for the CAPM

0 references

0 references

Strict stationarity of generalized autoregressive processes

0 references

Stationarity and geometric ergodicity of BEKK multivariate GARCH models

0 references

Polar angle tangent vectors follow Cauchy distributions under spherical symmetry

0 references

Bayesian value-at-risk and expected shortfall forecasting via the asymmetric Laplace distribution

0 references

Asymptotic theory for multivariate GARCH processes.

0 references

Limit behaviour of the empirical characteristic function

0 references

Nonparametric tests for conditional symmetry in dynamic models

0 references

Distribution-free specification tests of conditional models

0 references

A multivariate skew-garch model

0 references

A test for symmetries of multivariate probability distributions

0 references

Testing for bivariate spherical symmetry

0 references

0 references

QML ESTIMATION OF A CLASS OF MULTIVARIATE ASYMMETRIC GARCH MODELS

0 references

Estimating Multivariate Volatility Models Equation by Equation

0 references

Applications of empirical characteristic functions in some multivariate problems

0 references

A WARP-SPEED METHOD FOR CONDUCTING MONTE CARLO EXPERIMENTS INVOLVING BOOTSTRAP ESTIMATORS

0 references

Asymmetric multivariate normal mixture GARCH

0 references

SEMIPARAMETRIC MULTIVARIATE VOLATILITY MODELS

0 references

Optimal tests for multivariate location based on interdirections and pseudo-Mahalanobis ranks.

0 references

Optimal procedures based on interdirections and pseudo-Mahalanobis ranks for testing multivariate elliptic white noise against ARMA dependence

0 references

Rank-based optimal tests of the adequacy of an elliptic VARMA model

0 references

Affine-invariant aligned rank tests for the multivariate general linear model with VARMA errors

0 references

Semi-parametric efficiency, distribution-freeness and invariance

0 references

Invariant tests for symmetry about an unspecified point based on the empirical characteristic function.

0 references

Testing for spherical symmetry via the empirical characteristic function

0 references

A test for elliptical symmetry

0 references

Tests for Symmetric Error Distribution in Linear and Nonparametric Regression Models

0 references

On the empirical characteristic function process of the residuals in GARCH models and applications

0 references

The distribution of the ratio \(X/Y\) for all centred elliptically symmetric distributions

0 references

Robust tests for spherical symmetry

0 references

Testing of spherical symmetry of a multivariate distribution.

0 references

0 references

Nonparametric model checks for time series

0 references

On the range of validity of the autoregressive sieve bootstrap

0 references

Maximum entropy test for GARCH models

0 references

A note on the Jarque-Bera normality test for GARCH innovations

0 references

Moment matrices in conditional heteroskedastic models under elliptical distributions with applications in AR-ARCH models

0 references

ASYMPTOTIC THEORY FOR A VECTOR ARMA-GARCH MODEL

0 references

A statistic for testing the null hypothesis of elliptical symmetry

0 references

Testing Symmetry of the Error Distribution in Nonlinear Heteroscedastic Models

0 references

TARGETING ESTIMATION OF CCC-GARCH MODELS WITH INFINITE FOURTH MOMENTS

0 references

Multivariate variance targeting in the BEKK-GARCH model

0 references

Testing for ellipsoidal symmetry: a comparison study

0 references

The bootstrap does not alwayswork for heteroscedasticmodels

0 references

Multivariate GARCH Models

0 references

Approximating the distributions of estimators of financial risk under an asymmetric Laplace law

0 references

0 references

Nonparametric Monte Carlo tests and their applications.

0 references

Nonparametric Monte Carlo tests for multivariate distributions

0 references

Properties and estimation of asymmetric exponential power distribution

0 references

General notions of statistical depth function.

0 references

Identifiers

zbMATH Open document ID

0 references

Mathematics Subject Classification ID

0 references

0 references

0 references

zbMATH DE Number

0 references

0 references

10.1016/J.JECONOM.2016.10.001

0 references

Sitelinks

Mathematics(1 entry)

mardi Publication:503569

Retrieved from "https://portal.mardi4nfdi.de/w/index.php?title=Item:Q503569&oldid=38377957"