A goodness-of-fit test for ARCH(\(\infty\)) models

DOI10.1016/J.JECONOM.2006.11.008zbMath1420.62385OpenAlexW2580769183MaRDI QIDQ5965496

Paolo Zaffaroni, Javier Hidalgo

Publication date: 27 May 2016

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

Full work available at URL: https://doi.org/10.1016/j.jeconom.2006.11.008

zbMATH Keywords

GARCH modelsmodel specificationbootstrap tests

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Nonparametric hypothesis testing (62G10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Related Items (5)

Joint and marginal specification tests for conditional mean and variance models ⋮ Extremal Dependence-Based Specification Testing of Time Series ⋮ Conditional asymmetry in power ARCH\((\infty)\) models ⋮ A bootstrap approach for generalized Autocontour testing Implications for VIX forecast densities ⋮ Bootstrap inference on the boundary of the parameter space, with application to conditional volatility models

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