ASYMPTOTIC DISTRIBUTION-FREE DIAGNOSTIC TESTS FOR HETEROSKEDASTIC TIME SERIES MODELS

DOI10.1017/S0266466609990090zbMath1191.62085OpenAlexW3123982193MaRDI QIDQ3577700

Juan Carlos Escanciano

Publication date: 23 July 2010

Published in: Econometric Theory (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1017/s0266466609990090

Mathematics Subject Classification ID

Nonparametric hypothesis testing (62G10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70) Monte Carlo methods (65C05)

Related Items (13)

Joint parametric specification checking of conditional mean and volatility in time series models with martingale difference innovations ⋮ A Model Specification Test For GARCH(1,1) Processes ⋮ Weak convergence of marked empirical processes for focused inference on \(\mathrm{AR}(p)\) vs \(\mathrm{AR}(p+1)\) stationary time series ⋮ Bootstrap specification tests for dynamic conditional distribution models ⋮ Specification Tests for GARCH Processes with Nuisance Parameters on the Boundary ⋮ Appraisal of excess Kurtosis through outlier-modified GARCH-type models ⋮ Empirical‐process‐based specification tests for diffusion models ⋮ Extremal Dependence-Based Specification Testing of Time Series ⋮ Marked empirical processes for non-stationary time series ⋮ Goodness-of-fit tests for Log-GARCH and EGARCH models ⋮ LACK-OF-FIT TESTING OF THE CONDITIONAL MEAN FUNCTION IN A CLASS OF MARKOV MULTIPLICATIVE ERROR MODELS ⋮ Fitting a two phase threshold multiplicative error model ⋮ ASYMPTOTIC DISTRIBUTION-FREE DIAGNOSTIC TESTS FOR HETEROSKEDASTIC TIME SERIES MODELS

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