Falsifying ARCH/GARCH Models Using Bispectral Based Tests

DOI10.1080/03610920802245741MaRDI QIDQ3622068zbMATH OpenOpenAlexFDO

Authors Melvin J. Hinich

Publication date 23 April 2009

Published in Communications in Statistics: Theory and Methods (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/03610920802245741

zbMATH Keywords

trimmingreversibilitybispectrum

Mathematics Subject Classification ID

Nonparametric hypothesis testing (62G10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Non-Markovian processes: hypothesis testing (62M07) Inference from stochastic processes and spectral analysis (62M15)

Recommendations

• Specification testing in nonparametric AR‐ARCH models
• Publication:5750229
• Testing for ARCH in the presence of nonlinearity of unknown form in the conditional mean
• A New Bispectral Test for NonLinear Serial Dependence
• Testing for ARCH in the presence of a possibly misspecified conditional mean

Cites work

• scientific article; zbMATH DE number 3987697 (Why is no real title available?)
• A NEW DIAGNOSTIC TEST OF MODEL INADEQUACY WHICH USES THE MARTINGALE DIFFERENCE CRITERION
• ARCH modeling in finance. A review of the theory and empirical evidence
• An Introduction to Polyspectra
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• Bispectral-Based Tests for the Detection of Gaussianity and Linearity in Time Series
• Bootstrapping the Box-Pierce Q test: a robust test of uncorrelatedness
• Generalized autoregressive conditional heteroscedasticity
• Normalizing bispectra
• TESTING FOR GAUSSIANITY AND LINEARITY OF A STATIONARY TIME SERIES
• Using discrete-time techniques to test continuous-time models for nonlinearity in drift

Cited in

(2)

• The effect of (mis-specified) GARCH filters on the finite sample distribution of the BDS test
• Long-range dependence in third order and bispectrum singularity

This page was built for publication: Falsifying ARCH/GARCH Models Using Bispectral Based Tests

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3622068)