Testing multivariate distributions in GARCH models (Q291099)

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Testing multivariate distributions in GARCH models
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    Statements

    title
    Testing multivariate distributions in GARCH models (English)
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    author
    Zhi-Hong Chen
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    Jushan Bai
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    publication date
    6 June 2016
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    zbMATH Keywords
    K-transformation
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    Brownian motion
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    distribution-free tests
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    multivariate normality
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    multivariate \(t\)
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    GARCH
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    Identifiers

    Mathematics Subject Classification ID
    62M10
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    62H15
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    62G10
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    62P05
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    zbMATH DE Number
    6589659
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