Asymptotics for GARCH squared residual correlations
From MaRDI portal
Recommendations
- Large sample distribution of weighted sums of ARCH(p) squared residual correlations
- A weighted goodness-of-fit test for GARCH(1,1) specification
- Limit theory for the sample autocorrelations and extremes of a GARCH \((1,1)\) process.
- A goodness-of-fit test for GARCH innovation density
- Limit results for the empirical process of squared residuals in GARCH models.
Cites work
- Asymptotic Theory of Integrated Conditional Moment Tests
- Consistency and Asymptotic Normality of the Quasi-Maximum Likelihood Estimator in IGARCH(1,1) and Covariance Stationary GARCH(1,1) Models
- Consistent Testing for Serial Correlation of Unknown Form
- Empirical process of the squared residuals of an ARCH sequence
- From the bird's eye to the microscope: A survey of new stylized facts of the intra-daily foreign exchange markets
- scientific article; zbMATH DE number 3502497 (Why is no real title available?)
- scientific article; zbMATH DE number 842531 (Why is no real title available?)
- scientific article; zbMATH DE number 3274494 (Why is no real title available?)
- Large sample distribution of weighted sums of ARCH(p) squared residual correlations
- On a measure of lack of fit in time series models
- On Fractionally Integrated Autoregressive Moving-Average Time Series Models With Conditional Heteroscedasticity
- On the asymptotic standard errors of residual autocorrelations in nonlinear time series modelling
- ON THE SQUARED RESIDUAL AUTOCORRELATIONS IN NON-LINEAR TIME SERIES WITH CONDITIONAL HETEROSKEDASTICITY
- Stationarity of GARCH processes and of some nonnegative time series
- Strict stationarity of generalized autoregressive processes
- The Bierens test under data dependence
Cited in
(23)- Augmented GARCH sequences: Dependence structure and asymptotics
- Comparison of specification tests for GARCH models
- Serial independence tests for innovations of conditional mean and variance models
- GARCH-type factor model
- Portmanteau test for the asymmetric power GARCH model when the power is unknown
- Goodness-of-fit tests for parametric specifications of conditionally heteroscedastic models
- Residual-based rank specification tests for AR-GARCH type models
- Conditional asymmetry in power ARCH() models
- Large sample distribution of weighted sums of ARCH(p) squared residual correlations
- A goodness-of-fit test for ARCH() models
- Monitoring distributional changes of squared residuals in GARCH models
- Properties of the Autocorrelation Function of Squared Observations for Second-order Garch Processes Under Two Sets of Parameter Constraints
- M tests with a new normalization matrix
- A goodness-of-fit test for ARCH(\(\infty\)) models
- Portmanteau test for a class of multivariate asymmetric power GARCH model
- Extremal Dependence-Based Specification Testing of Time Series
- Volatility Estimation When the Zero-Process is Nonstationary
- Sample splitting and assessing goodness-of-fit of time series
- Conditional Score Residuals and Diagnostic Analysis of Serial Dependence in Time Series Models
- Inconsistency of the MLE and inference based on weighted LS for LARCH models
- A note on portmanteau tests for conditional heteroscedastistic models
- Strong approximation for the sums of squares of augmented GARCH sequences
- Diagnostic checking integer-valued ARCH\((p)\) models using conditional residual autocorrelations
This page was built for publication: Asymptotics for GARCH squared residual correlations
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4561967)
