Comparison of specification tests for GARCH models

DOI10.1016/j.csda.2013.03.009zbMath1506.62067MaRDI QIDQ1623530

Bruno Rémillard, Kilani Ghoudi

Publication date: 23 November 2018

Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.csda.2013.03.009

zbMATH Keywords

bootstrap; empirical processes; multipliers; goodness of fit tests; residuals; GARCH models; pseudo-observations; squared residuals

Mathematics Subject Classification ID

62-08: Computational methods for problems pertaining to statistics

62G10: Nonparametric hypothesis testing

62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)

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Empirical characteristic function tests for GARCH innovation distribution using multipliers, CHARACTERIZATIONS OF MULTINORMALITY AND CORRESPONDING TESTS OF FIT, INCLUDING FOR GARCH MODELS, Copula-based dynamic models for multivariate time series, Semi-parametric copula-based models under non-stationarity, Serial independence tests for innovations of conditional mean and variance models, A two-sample test for the error distribution in nonparametric regression based on the characteristic function, Goodness-of-fit tests for parametric specifications of conditionally heteroscedastic models, Fast tests for the two-sample problem based on the empirical characteristic function, A new class of tests for multinormality with i.i.d. And garch data based on the empirical moment generating function

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