Arc length tests for comparing the dynamics between GARCH processes

DOI10.2140/INVOLVE.2025.18.459MaRDI QIDQ6988836zbMATH OpenFDO

Authors Ferebee Tunno, Javier Muñoz Ruiz

Publication date 30 April 2025

Published in Involve (Search for Journal in Brave)

Full work available at URL https://doi.org/10.2140/INVOLVE.2025.18.459

zbMATH Keywords

arc lengthconditional volatilityGARCH processescryptocurrency

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Stationary stochastic processes (60G10) Financial applications of other theories (91G80)

Cites work

• A new test for checking the equality of the correlation structures of two time series
• An application of extreme value theory to cryptocurrencies
• Arc length asymptotics for multivariate time series
• Arc length tests for equivalent autocovariances
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• Generalized autoregressive conditional heteroscedasticity
• On testing for the equality of autocovariance in time series
• Signal discrimination without denoising
• Skewed non-Gaussian GARCH models for cryptocurrencies volatility modelling
• TESTS FOR COMPARING TWO ESTIMATED SPECTRAL DENSITIES
• Testing equality of stationary autocovariances
• Testing for changes in the covariance structure of linear processes
• Time series: theory and methods.

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