Comparison of specification tests for GARCH models (Q1623530)

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Comparison of specification tests for GARCH models
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    title
    Comparison of specification tests for GARCH models (English)
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    author
    Kilani Ghoudi
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    Bruno Rémillard
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    publication date
    23 November 2018
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    Mathematics Subject Classification ID
    62-08
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    62M10
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    62G10
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    zbMATH DE Number
    6983980
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    zbMATH Keywords
    goodness of fit tests
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    GARCH models
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    residuals
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    squared residuals
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    empirical processes
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    pseudo-observations
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    multipliers
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    bootstrap
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