Tests for conditional ellipticity in multivariate GARCH models

DOI10.1016/J.JECONOM.2016.10.001zbMath1403.62162OpenAlexW2533585107MaRDI QIDQ503569

Christian Francq, Simos G. Meintanis, M. Dolores Jiménez-Gamero

Publication date: 13 January 2017

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jeconom.2016.10.001

zbMATH Keywords

spherical symmetryempirical characteristic functionMGARCHconditional Monte Carlo testextended CCC-GARCH

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Hypothesis testing in multivariate analysis (62H15) Economic time series analysis (91B84)

Related Items (9)

Estimation risk for the VaR of portfolios driven by semi-parametric multivariate models ⋮ Unnamed Item ⋮ Goodness‐of‐fit tests for the multivariate Student‐t distribution based on i.i.d. data, and for GARCH observations ⋮ Testing for spherical and elliptical symmetry ⋮ CHARACTERIZATIONS OF MULTINORMALITY AND CORRESPONDING TESTS OF FIT, INCLUDING FOR GARCH MODELS ⋮ A new class of tests for multinormality with i.i.d. And garch data based on the empirical moment generating function ⋮ Inferential procedures based on the integrated empirical characteristic function ⋮ COUNT AND DURATION TIME SERIES WITH EQUAL CONDITIONAL STOCHASTIC AND MEAN ORDERS ⋮ Testing the existence of moments for GARCH processes

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