Tests for conditional ellipticity in multivariate GARCH models (Q503569)

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English	Tests for conditional ellipticity in multivariate GARCH models	scientific article

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scholarly article

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Tests for conditional ellipticity in multivariate GARCH models (English)

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Christian Francq

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Simos G. Meintanis

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M. Dolores Jiménez-Gamero

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Journal of Econometrics

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publication date

13 January 2017

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zbMATH Keywords

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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MaRDI profile type

MaRDI publication profile

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full work available at URL

https://doi.org/10.1016/j.jeconom.2016.10.001

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The centred parametrization for the multivariate skew-normal distribution

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Testing multivariate distributions in GARCH models

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A consistent test for conditional symmetry in time series models

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Asymptotic normality of the quasi-maximum likelihood estimator for multidimensional causal processes

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Testing for spherical symmetry of a multivariate distribution

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Nonparametric estimation of multivariate elliptic densities via finite mixture sieves

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Testing for ellipsoidal symmetry of a multivariate density

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Necessary conditions for the CAPM

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Strict stationarity of generalized autoregressive processes

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Stationarity and geometric ergodicity of BEKK multivariate GARCH models

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Polar angle tangent vectors follow Cauchy distributions under spherical symmetry

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Bayesian value-at-risk and expected shortfall forecasting via the asymmetric Laplace distribution

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Asymptotic theory for multivariate GARCH processes.

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Limit behaviour of the empirical characteristic function

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Nonparametric tests for conditional symmetry in dynamic models

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Distribution-free specification tests of conditional models

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A multivariate skew-garch model

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A test for symmetries of multivariate probability distributions

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Testing for bivariate spherical symmetry

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QML ESTIMATION OF A CLASS OF MULTIVARIATE ASYMMETRIC GARCH MODELS

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Estimating Multivariate Volatility Models Equation by Equation

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Applications of empirical characteristic functions in some multivariate problems

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A WARP-SPEED METHOD FOR CONDUCTING MONTE CARLO EXPERIMENTS INVOLVING BOOTSTRAP ESTIMATORS

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Asymmetric multivariate normal mixture GARCH

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SEMIPARAMETRIC MULTIVARIATE VOLATILITY MODELS

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Optimal tests for multivariate location based on interdirections and pseudo-Mahalanobis ranks.

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Optimal procedures based on interdirections and pseudo-Mahalanobis ranks for testing multivariate elliptic white noise against ARMA dependence

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Rank-based optimal tests of the adequacy of an elliptic VARMA model

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Affine-invariant aligned rank tests for the multivariate general linear model with VARMA errors

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Semi-parametric efficiency, distribution-freeness and invariance

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Invariant tests for symmetry about an unspecified point based on the empirical characteristic function.

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Testing for spherical symmetry via the empirical characteristic function

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A test for elliptical symmetry

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Tests for Symmetric Error Distribution in Linear and Nonparametric Regression Models

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On the empirical characteristic function process of the residuals in GARCH models and applications

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The distribution of the ratio \(X/Y\) for all centred elliptically symmetric distributions

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Robust tests for spherical symmetry

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Testing of spherical symmetry of a multivariate distribution.

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Nonparametric model checks for time series

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On the range of validity of the autoregressive sieve bootstrap

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Maximum entropy test for GARCH models

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A note on the Jarque-Bera normality test for GARCH innovations

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Moment matrices in conditional heteroskedastic models under elliptical distributions with applications in AR-ARCH models

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ASYMPTOTIC THEORY FOR A VECTOR ARMA-GARCH MODEL

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A statistic for testing the null hypothesis of elliptical symmetry

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Testing Symmetry of the Error Distribution in Nonlinear Heteroscedastic Models

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TARGETING ESTIMATION OF CCC-GARCH MODELS WITH INFINITE FOURTH MOMENTS

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Multivariate variance targeting in the BEKK-GARCH model

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Testing for ellipsoidal symmetry: a comparison study

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The bootstrap does not alwayswork for heteroscedasticmodels

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Multivariate GARCH Models

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Approximating the distributions of estimators of financial risk under an asymmetric Laplace law

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Nonparametric Monte Carlo tests and their applications.

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Nonparametric Monte Carlo tests for multivariate distributions

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Properties and estimation of asymmetric exponential power distribution

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General notions of statistical depth function.

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Identifiers

zbMATH Open document ID

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10.1016/j.jeconom.2016.10.001

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Mathematics Subject Classification ID

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zbMATH DE Number

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Sitelinks

Mathematics(1 entry)

mardi Publication:503569

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