Tests for conditional ellipticity in multivariate GARCH models (Q503569)
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scientific article; zbMATH DE number 6674391
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| English | Tests for conditional ellipticity in multivariate GARCH models |
scientific article; zbMATH DE number 6674391 |
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Tests for conditional ellipticity in multivariate GARCH models (English)
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13 January 2017
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MGARCH
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spherical symmetry
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empirical characteristic function
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conditional Monte Carlo test
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extended CCC-GARCH
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0.8457438945770264
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0.8224188685417175
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0.8069860935211182
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0.8037025332450867
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0.7982205748558044
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