Hypothesis testing for ARCH models: a multiple quantile regressions approach

DOI10.1111/JTSA.12089MaRDI QIDQ2937711zbMATH OpenOpenAlexFDO

Authors Seon Jin Kim

Publication date 12 January 2015

Published in Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1111/jtsa.12089

zbMATH Keywords

ARCH modelconditional heteroscedasticityhypothesis testingquantile regression

Mathematics Subject Classification ID

Nonparametric regression and quantile regression (62G08) Nonparametric hypothesis testing (62G10) Order statistics; empirical distribution functions (62G30) Non-Markovian processes: hypothesis testing (62M07) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Recommendations

• ARCH tests and quantile regressions
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• A test of conditional heteroscedasticity in time series
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• One‐sided testing for conditional heteroskedasticity in time series models

Cites work

• A note on L-estimates for linear models
• Adaptive \(L\)-estimation for linear models
• ARCH tests and quantile regressions
• ARMA MODELS WITH ARCH ERRORS
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• Composite quantile regression and the oracle model selection theory
• Conditional quantile estimation for generalized autoregressive conditional heteroscedasticity models
• Efficient estimation for time-varying coefficient longitudinal models
• EFFICIENT REGRESSIONS VIA OPTIMALLY COMBINING QUANTILE INFORMATION
• Generalized autoregressive conditional heteroscedasticity
• Martingale Central Limit Theorems
• Simulation-based finite-sample tests for heteroskedasticity and ARCH effects

Cited in

(5)

• Testing for multivariate autoregressive conditional heteroskedasticity using wavelets
• Likelihood ratio-type tests in weighted composite quantile regression of DTARCH models
• Large sample tests for a regression model with autoregressive conditional heteroscedastic errors
• ARCH tests and quantile regressions
• M-estimation and linear hypothesis testing in the ARCH model

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